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ArticleEstimation of the business cycle: A modified Hodrick-Prescott filter

Regina Kaiser1999

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Articlegreen1999

Estimation of the business cycle: A modified Hodrick-Prescott filter

Regina Kaiser · Agustı́n Maravall

144 citations·0/0 files stored·Spanish Economic Review

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Statistical and numerical algorithms

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References

1977Time Series Analysis: Forecasting and Control 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1971Time Series Analysis Forecasting and Control.1986Theory ahead of business-cycle measurement 1993Detrending, stylized facts and the business cycle 1998Detrending and business cycle facts 1995Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research 1993Low frequency filtering and real business cycles

Cited by

2003Cyclically Adjusted Budget Balances: An Alternative Approach 2006Debt Sustainability and Procyclical Fiscal Policies in Latin America 2020Reliable Real-Time Output Gap Estimates Based on a Modified Hamilton Filter 2009Globalization, Domestic Inflation and Global Output Gaps: Evidence from the Euro Area*2012Can rating agencies look through the cycle?2001Time aggregation and the hodrick-prescott filter

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2021The Bank of Canada's New Quarterly Projection Model, Part 4. A Semi-Structural Method to Estimate Potential Output: Combining Economic Theory with a Time-Series Filterpreprint · 7 shared references 2018A menu on output gap estimation methodsarticle · 6 shared references 2005Combining filter design with model-based filtering (with an application to business-cycle estimation)article · 6 shared references 2007Temporal Aggregation, Systematic Sampling, and the Hodrick-Prescott Filterpreprint · 6 shared references 2001The Hodrick–Prescott filter, the Slutzky effect, and the distortionary effect of filtersarticle · 5 shared references 2003Fiscal policy and political business cycles in the EUarticle · 5 shared references

Details

Year1999

Typearticle

Published1999-07-01

VenueSpanish Economic Review

ISSN-L1435-5469

Languageen

Citations144

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1007/s101080050008

openalex_workW2084785152

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2013Time series modeling and decomposition

2013Exchange rate pass-through and inflation targeting in Peru