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The Hodrick-Prescott technique: A smoother versus a filter
5 references·4 citing·44 second hop
The Hodrick-Prescott technique: A smoother versus a filter (1997)The Hodrick-Prescott technique: A smoothe…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research (1995)Effects of the Hodrick-Presco…Estimating Potential Output as a Latent Variable (1994)Estimating Potential Output a…Low frequency filtering and real business cycles (1993)Low frequency filtering and r…Detrending, stylized facts and the business cycle (1993)Detrending, stylized facts an…Dynamic connectedness among monetary policy cycle, financial cycle and business cycle in China (2021)Dynamic connectedness among m…Asymmetric Taylor reaction functions of the ECB: An approach depending on the state of the economy (2011)Asymmetric Taylor reaction fu…Using HP Filtered Data for Econometric Analysis: Some Evidence from Monte Carlo Simulations (2005)Using HP Filtered Data for Ec…Estimates of the Output Gap in Real Time: How well have we been doing? (2004)Estimates of the Output Gap i…Discretion versus policy rules in practice (1993)Monetary policy rules in practice (1998)Impact of macroeconomic surprises on the Brazilian yield curve and expected inflation (2014)A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)Time to Build and Aggregate Fluctuations (1982)Production, growth and business cycles (1988)Detrending and business cycle facts (1998)The Differential Regional Effects of Monetary Policy (1998)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Econometric policy evaluation: A critique (1976)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Performance of Operational Policy Rules in an Estimated Semi-Classical Structural Model (1998)The robustness of Okun's law: Evidence from OECD countries (2000)Whither Monetary and Financial Stability? The Implications of Evolving Policy Regimes (2007)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Macroeconomics and Reality (1980)The Band Pass Filter (1999)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Measuring Uncertainty (2015)Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?Trends and random walks in macroeconmic time series (1982)Trends and random walks in macroeconomic time series (1988)International Financial Adjustment (2007)Stories of the Twentieth Century for the Twenty-First (2012)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Globalization and business cycle transmission (2009)The intranational business cycle in Japan (2010)Tests For Unit Roots: A Monte Carlo Investigation (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)5 Stochastic volatility (1996)Forecasting inflation (1999)Forecasting Output and Inflation: The Role of Asset Prices (2003)The Unreliability of Output-Gap Estimates in Real Time (2002)Historical Monetary Policy Analysis and the Taylor Rule (2003)The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time (2005)Do the Central Banks of Australia and New Zealand Behave Asymmetrically? Evidence from Monetary Policy Reaction Functions* (2007)Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–2008 (2012)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Capital flow dynamics and the synchronization of financial cycles and business cycles in emerging market economies (2024)Does banking competition increase corporate labor income share? Evidence from China (2024)
this work references cited by second hop

References

  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1993Detrending, stylized facts and the business cycle1,202 cited
  • 1995Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research869 cited
  • 1993Low frequency filtering and real business cycles757 cited
  • 1994Estimating Potential Output as a Latent Variable452 cited

Cited by

  • 2005Using HP Filtered Data for Econometric Analysis: Some Evidence from Monte Carlo Simulations26 cited
  • 2011Asymmetric Taylor reaction functions of the ECB: An approach depending on the state of the economy25 cited
  • 2021Dynamic connectedness among monetary policy cycle, financial cycle and business cycle in China24 cited
  • 2004Estimates of the Output Gap in Real Time: How well have we been doing?15 cited

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