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A Multivariate Band-Pass Filter for Economic Time Series
16 references·0 citing·44 second hop
A Multivariate Band-Pass Filter for Economic Time Series (2010)A Multivariate Band-Pass Filter for Econo…New Eurocoin: Tracking Economic Growth in Real Time (2010)New Eurocoin: Tracking Econom…General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series (2003)General Model-Based Filters f…An Area Wide Model (Awm) for the Euro Area (2003)An Area Wide Model (Awm) for …The Unreliability of Output-Gap Estimates in Real Time (2002)The Unreliability of Output-G…The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series (2001)The Use of Butterworth Filter…The Hodrick–Prescott filter, the Slutzky effect, and the distortionary effect of filters (2001)The Hodrick–Prescott filter, …Measuring Business Cycles in Economic Time Series (2001)Measuring Business Cycles in …The Band Pass Filter (1999)The Band Pass FilterNon-stationary log-periodogram regression (1999)Non-stationary log-periodogra…Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)Measuring Business Cycles: Ap…Chapter 1 Business cycle fluctuations in us macroeconomic time series (1999)Chapter 1 Business cycle fluc…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES (1995)ESTIMATION OF THE MEMORY PARA…Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research (1995)Effects of the Hodrick-Presco…Low frequency filtering and real business cycles (1993)Low frequency filtering and r…Forecasting structural time series models and the kalman filter (1992)Forecasting structural time s…Detrending, stylized facts and the business cycle (1993)Disagreement about Inflation Expectations (2003)The quest for prosperity without inflation (2003)New Evidence on the Interest Rate Effects of Budget Deficits and Debt (2009)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)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)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)Discretion versus policy rules in practice (1993)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)European inflation dynamics (2001)An Estimated Stochastic Dynamic General Equilibrium Model of the Euro Area (2003)Oil price shocks and real GDP growth: empirical evidence for some OECD countries (2005)A Positive Theory of Monetary Policy in a Natural Rate Model (1983)Are Technology Improvements Contractionary? (2006)Fiscal Volatility Shocks and Economic Activity (2015)Comparing Predictive Accuracy (1994)Determining the Number of Factors in Approximate Factor Models (2002)Forecasting Using Principal Components From a Large Number of Predictors (2002)Housing, consumption and monetary policy: How different are the US and the euro area? (2011)Now-Casting and the Real-Time Data Flow (2013)Are Incentives for R&D Effective? Evidence from a Regression Discontinuity Approach (2014)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Country spreads and emerging countries: Who drives whom? (2005)Is value riskier than growth? (2005)Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets (2009)The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time (2005)Trends and cycles in economic time series: A Bayesian approach (2006)Let's take a break: Trends and cycles in US real GDP (2009)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)
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References

  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1999Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series2,829 cited
  • 1999The Band Pass Filter1,909 cited
  • 2002The Unreliability of Output-Gap Estimates in Real Time944 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
  • 2003An Area Wide Model (Awm) for the Euro Area641 cited
  • 1999Chapter 1 Business cycle fluctuations in us macroeconomic time series519 cited
  • 2010New Eurocoin: Tracking Economic Growth in Real Time411 cited
  • 2003General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series292 cited
  • 1999Non-stationary log-periodogram regression271 cited
  • 2001The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series187 cited
  • 1995ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES174 cited
  • 2001The Hodrick–Prescott filter, the Slutzky effect, and the distortionary effect of filters154 cited
  • 2001Measuring Business Cycles in Economic Time Series

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112 cited
  • 1992Forecasting structural time series models and the kalman filter102 cited
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