Cyclical Properties of Baxter-King Filtered Time Series

Christian Joseph Murray

136 citations0/0 files storedThe Review of Economics and Statistics

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Unemployment and Economic Growth

Abstract

This note demonstrates that the Baxter-King (1999) filter, and in general any bandpass filter, does not isolate the cycle in an unobserved-components model with a stochastic trend. The first difference of the trend passes through the filter, and as a result, the spectral properties of the filtered series depend on the trend in the unfiltered series. It is demonstrated that for postwar U.S. real GDP, the spectral properties of the BK-filtered series are primarily to due to the stochastic trend in output.

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References

1997Postwar U.S. Business Cycles: An Empirical Investigation 1999Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series 1993Detrending, stylized facts and the business cycle 1995Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research 1986Univariate detrending methods with stochastic trends 1987The Cyclical Component of U. S. Economic Activity 1985Trends and Cycles in Macroeconomic Time Series 2003Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?

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