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Cyclical Properties of Baxter-King Filtered Time Series
8 references·16 citing·44 second hop
Cyclical Properties of Baxter-King Filtered Time Series (2003)Cyclical Properties of Baxter-King Filter…Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? (2003)Why Are the Beveridge-Nelson …Measuring 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…The Cyclical Component of U. S. Economic Activity (1987)The Cyclical Component of U. …Univariate detrending methods with stochastic trends (1986)Univariate detrending methods…Trends and Cycles in Macroeconomic Time Series (1985)Trends and Cycles in Macroeco…Financial cycles around the world (2020)Financial cycles around the w…IS BUSINESS CYCLE ASYMMETRY INTRINSIC IN INDUSTRIALIZED ECONOMIES? (2019)IS BUSINESS CYCLE ASYMMETRY I…Characterizing the financial cycle: Evidence from a frequency domain analysis (2019)Characterizing the financial …Detrending and Financial Cycle Facts Across G7 Countries: Mind a Spurious Medium Term! (2018)Detrending and Financial Cycl…A menu on output gap estimation methods (2018)A menu on output gap estimati…Business, Housing and Credit Cycles (2016)Business, Housing and Credit …The Beveridge–Nelson decomposition in retrospect and prospect (2008)The Beveridge–Nelson decompos…Trends and cycles in economic time series: A Bayesian approach (2006)Trends and cycles in economic…New measures of the output gap based on the forward-looking new Keynesian Phillips curve (2006)New measures of the output ga…Are Business Cycles All Alike? 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A Frequency Domain Approach (2002)Business Cycles: Cyclical Com…Band-Pass Filtering, Cointegration, and Business Cycle Analysis (2001)Band-Pass Filtering, Cointegr…Forecasting, Structural Time Series Models and the Kalman Filter (1990)The trend–cycle decomposition of output and the Phillips curve: Bayesian estimates for Italy and the Euro area (2015)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)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Trends and random walks in macroeconmic time series (1982)Are Output Fluctuations Transitory? (1987)Common stochastic trends in international stock markets (1992)Low frequency filtering and real business cycles (1993)Measuring Business Cycles (1947)Sources of Business Cycle Fluctuations (1988)Variable Trends in Economic Time Series (1988)Permanent and Transitory Components of GNP and Stock Prices (1994)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)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 (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Common Stochastic Trends in a System of Exchange Rates (1989)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)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time (2005)The Asymmetric Business Cycle (2010)Less than 2 °C warming by 2100 unlikely (2017)
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
  • 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
  • 1986Univariate detrending methods with stochastic trends851 cited
  • 1987The Cyclical Component of U. S. Economic Activity741 cited
  • 1985Trends and Cycles in Macroeconomic Time Series688 cited
  • 2003Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?542 cited

Cited by

  • 2006Trends and cycles in economic time series: A Bayesian approach132 cited
  • 2016Business, Housing and Credit Cycles131 cited
  • 2006New measures of the output gap based on the forward-looking new Keynesian Phillips curve121 cited
  • 2005Reconsidering the Evidence113 cited
  • 2019Characterizing the financial cycle: Evidence from a frequency domain analysis111 cited
  • 2018A menu on output gap estimation methods97 cited
  • 2008The Beveridge–Nelson decomposition in retrospect and prospect

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61 cited
  • 2006Are Business Cycles All Alike? A Bandpass Filter Analysis of the Italian and US Cycles54 cited
  • 2004Modelling phase shifts among stochastic cycles53 cited
  • 2004Longer-Term Effects of Monetary Growth on Real and Nominal Variables, Major Industrial Countries, 1880-200142 cited
  • 2019IS BUSINESS CYCLE ASYMMETRY INTRINSIC IN INDUSTRIALIZED ECONOMIES?41 cited
  • 2001Band-Pass Filtering, Cointegration, and Business Cycle Analysis38 cited
  • 2003Business Cycles and Turning Points: A Survey of Statistical Techniques37 cited
  • 2020Financial cycles around the world37 cited
  • 2018Detrending and Financial Cycle Facts Across G7 Countries: Mind a Spurious Medium Term!35 cited
  • 2002Business Cycles: Cyclical Comovement Within the European Union in the Period 1960-1999. A Frequency Domain Approach34 cited