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General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series
5 references·16 citing·42 second hop
General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series (2003)General Model-Based Filters for Extractin…The Band Pass Filter (1999)The Band Pass FilterMeasuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)Measuring Business Cycles: Ap…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…Detrending, stylized facts and the business cycle (1993)Detrending, stylized facts an…Characterizing the financial cycle: Evidence from a frequency domain analysis (2019)Characterizing the financial …A menu on output gap estimation methods (2018)A menu on output gap estimati…Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area (2016)Measuring Financial Cycles in…Business, Housing and Credit Cycles (2016)Business, Housing and Credit …The trend–cycle decomposition of output and the Phillips curve: Bayesian estimates for Italy and the Euro area (2015)The trend–cycle decomposition…Measuring the dynamics of global business cycle connectedness (2015)Measuring the dynamics of glo…Modelling the Phillips curve with unobserved components (2010)Modelling the Phillips curve …Let's take a break: Trends and cycles in US real GDP (2009)Let's take a break: Trends an…Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US* (2007)Measuring Synchronization and…Trends and cycles in economic time series: A Bayesian approach (2006)Trends and cycles in economic…Tracking the Business Cycle of the Euro Area (2006)Tracking the Business Cycle o…Estimating potential output and the output gap for the euro area: a model-based production function approach (2006)Estimating potential output a…Chapter 7 Forecasting with Unobserved Components Time Series Models (2006)Chapter 7 Forecasting with Un…The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time (2005)The Reliability of Inflation …Reconsidering the Evidence (2005)Reconsidering the EvidenceDating the Euro Area Business Cycle (2003)Dating the Euro Area Business…Forecasting, Structural Time Series Models and the Kalman Filter (1990)An Inflation-Predicting Measure of the Output Gap in the Euro Area (2016)Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter (2017)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)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Natural Expectations, Macroeconomic Dynamics, and Asset Pricing (2011)Under-/Over-Valuation of the Stock Market and Cyclically Adjusted Earnings* (2011)Tracking the Slowdown in Long-Run GDP Growth (2016)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)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Evaluating Direct Multistep Forecasts (2005)Macroeconomic Forecasting With Mixed-Frequency Data (2008)Individual time series and composite forecasting of the Chinese stock index (2021)Estimating long-run relationships from dynamic heterogeneous panels (1995)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Determinants of Business Cycle Synchronisation Across Euro Area Countries (2006)Measuring coherence of output gaps with an application to the euro area (2011)Business cycle convergence in EMU: A second look at the second moment (2013)Tests For Unit Roots: A Monte Carlo Investigation (1988)5 Stochastic volatility (1996)Forecasting inflation (1999)Forecasting Output and Inflation: The Role of Asset Prices (2003)A Positive Theory of Monetary Policy in a Natural Rate Model (1983)Are Technology Improvements Contractionary? (2006)Fiscal Volatility Shocks and Economic Activity (2015)Credit Cycles (1997)Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–2008 (2012)Secular stagnation or financial cycle drag? (2017)The Influential Factors of Financial Cycle Spillover: Evidence from China (2019)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)
this work references cited by second hop

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
  • 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

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  • 2016Business, Housing and Credit Cycles131 cited
  • 2005Reconsidering the Evidence113 cited
  • 2019Characterizing the financial cycle: Evidence from a frequency domain analysis111 cited
  • 2015The trend–cycle decomposition of output and the Phillips curve: Bayesian estimates for Italy and the Euro area110 cited
  • 2003Dating the Euro Area Business Cycle108 cited
  • 2018A menu on output gap estimation methods97 cited
  • 2006Chapter 7 Forecasting with Unobserved Components Time Series Models

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91 cited
  • 2016Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area89 cited
  • 2006Tracking the Business Cycle of the Euro Area88 cited
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  • 2010Modelling the Phillips curve with unobserved components72 cited
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