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Combining filter design with model-based filtering (with an application to business-cycle estimation)
16 references·4 citing·36 second hop
Combining filter design with model-based filtering (with an application to business-cycle estimation) (2005)Combining filter design with model-based …Similarities and convergence in G-7 cycles (2007)Similarities and convergence …An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps (2004)An Empirical Analysis of the …On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)On Adjusting the Hodrick-Pres…Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)Measuring Business Cycles: Ap…Detrending and business cycle facts (1998)Detrending and business cycle…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…Estimating Potential Output, Output Gaps and Structural Budget Balances (1995)Estimating Potential Output, …Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research (1995)Effects of the Hodrick-Presco…The World Economic Outlook (1994)The World Economic OutlookLow 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 Forces in Capitalist Development: A Long-run Comparative View. (1992)Dynamic Forces in Capitalist …Post-War U.S. Business Cycles: An Empirical Investigation (1981)Post-War U.S. Business Cycles…Seasonal Analysis of Economic Time Series (1978)Seasonal Analysis of Economic…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Time Series Analysis, Forecasting and Control. (1971)Time Series Analysis, Forecas…What Makes Balance Sheet Effects Detrimental for the Country Risk Premium? (2009)What Makes Balance Sheet Effe…Structural Time Series Models for Business Cycle Analysis (2009)Structural Time Series Models…Fiscal Policy and Economic Cycles in Oil-Exporting Countries (2008)Fiscal Policy and Economic Cy…Does China Have an Impact on Foreign Direct Investment to Latin America? (2005)Does China Have an Impact on …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)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)The Band Pass Filter (1999)Measuring Uncertainty (2015)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)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)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)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)Uncertainty, Financial Frictions, and Investment Dynamics (2014)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)Generalized autoregressive conditional heteroskedasticity (1986)Long memory relationships and the aggregation of dynamic models (1980)Understanding spurious regressions in econometrics (1986)25 years of time series forecasting (2006)Real Business Cycles (1983)Indivisible labor and the business cycle (1985)Bank-specific, industry-specific and macroeconomic determinants of bank profitability (2006)
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References

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  • 2004An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps386 cited
  • 2007Similarities and convergence in G-7 cycles

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318 cited
  • 1978Seasonal Analysis of Economic Time Series288 cited
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    • 2008Fiscal Policy and Economic Cycles in Oil-Exporting Countries77 cited
    • 2005Does China Have an Impact on Foreign Direct Investment to Latin America?32 cited
    • 2009What Makes Balance Sheet Effects Detrimental for the Country Risk Premium?20 cited
    • 2009Structural Time Series Models for Business Cycle Analysis18 cited