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Hodrick-Prescott filter in practice
15 references·2 citing·40 second hop
Hodrick-Prescott filter in practice (1999)Hodrick-Prescott filter in practiceBusiness Cycles: Real Facts or Fallacies? (2012)Business Cycles: Real Facts o…Detrending and business cycle facts (1998)Detrending and business cycle…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…Is the Business Cycle of Argentina "Different"? (1997)Is the Business Cycle of Arge…Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research (1995)Effects of the Hodrick-Presco…Detrending and turning points (1994)Detrending and turning pointsLow frequency filtering and real business cycles (1993)Low frequency filtering and r…Detrending, stylized facts and the business cycle (1993)Detrending, stylized facts an…Cointegration, Seasonality, Encompassing, and the Demand for Money in the United Kingdom (1993)Cointegration, Seasonality, E…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…Econometric issues in the analysis of equilibrium business cycle models (1988)Econometric issues in the ana…Theory ahead of business-cycle measurement (1986)Theory ahead of business-cycl…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Time to Build and Aggregate Fluctuations (1982)Time to Build and Aggregate F…Serial Correlation as a Convenient Simplification, Not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England (1978)Serial Correlation as a Conve…Inflation volatility: an Asian perspective (2014)Inflation volatility: an Asia…The European Central Bank's First Pillar Reassessed* (2003)The European Central Bank's F…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)Production, growth and business cycles (1988)The Differential Regional Effects of Monetary Policy (1998)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)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)A Contribution to the Theory of Economic Growth (1956)Understanding business cycles (1977)Agency Costs, Net Worth, And Business Fluctuations (1988)Uninsured Idiosyncratic Risk and Aggregate Saving (1994)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? (2003)How do business and financial cycles interact? (2012)Macrofinancial History and the New Business Cycle Facts (2017)Aggregate Dynamics and Staggered Contracts (1980)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)The equity premium: A puzzle (1985)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)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)Time Series Analysis, Forecasting, and Control (1995)Nuisance vs. Substance: Specifying and Estimating Time-Series-Cross-Section Models (1996)Dynamic Models for Dynamic Theories: The Ins and Outs of Lagged Dependent Variables (2005)Introductory Econometrics for Finance (2008)Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?International Financial Adjustment (2007)Stories of the Twentieth Century for the Twenty-First (2012)
this work references cited by second hop

References

  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1982Time to Build and Aggregate Fluctuations5,933 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1986Theory ahead of business-cycle measurement1,663 cited
  • 1993Detrending, stylized facts and the business cycle1,202 cited
  • 1998Detrending and business cycle facts922 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
  • 1978Serial Correlation as a Convenient Simplification, Not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England612 cited
  • 1988Econometric issues in the analysis of equilibrium business cycle models145 cited
  • 1994Detrending and turning points103 cited
  • 1997Is the Business Cycle of Argentina "Different"?76 cited
  • 1993Cointegration, Seasonality, Encompassing, and the Demand for Money in the United Kingdom53 cited
  • 2012Business Cycles: Real Facts or Fallacies?36 cited

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Cited by

  • 2003The European Central Bank's First Pillar Reassessed*29 cited
  • 2014Inflation volatility: an Asian perspective29 cited