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Using HP Filtered Data for Econometric Analysis: Some Evidence from Monte Carlo Simulations
16 references·2 citing·30 second hop
Using HP Filtered Data for Econometric Analysis: Some Evidence from Monte Carlo Simulations (2005)Using HP Filtered Data for Econometric An…The Unreliability of Output-Gap Estimates in Real Time (2002)The Unreliability of Output-G…On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)On Adjusting the Hodrick-Pres…The Hodrick–Prescott filter, the Slutzky effect, and the distortionary effect of filters (2001)The Hodrick–Prescott filter, …Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)Measuring Business Cycles: Ap…Sources and propagation of international output cycles: Common shocks or transmission? (1998)Sources and propagation of in…Detrending and business cycle facts (1998)Detrending and business cycle…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…Stylized facts of business cycles in the G7 from a real business cycles perspective (1994)Stylized facts of business cy…Low frequency filtering and real business cycles (1993)Low frequency filtering and r…Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…Detrending, stylized facts and the business cycle (1993)Detrending, stylized facts an…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Post-War U.S. Business Cycles: An Empirical Investigation (1981)Post-War U.S. Business Cycles…The intranational business cycle in Japan (2010)The intranational business cy…Globalization and business cycle transmission (2009)Globalization and business cy…Statistical analysis of cointegration vectors (1988)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)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)Time to Build and Aggregate Fluctuations (1982)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)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)Disagreement about Inflation Expectations (2003)The quest for prosperity without inflation (2003)New Evidence on the Interest Rate Effects of Budget Deficits and Debt (2009)Stories of the Twentieth Century for the Twenty-First (2012)Uncertainty, Financial Frictions, and Investment Dynamics (2014)Generalized impulse response analysis in linear multivariate models (1998)Introductory Econometrics for Finance (2008)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1999Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series2,829 cited
  • 2002On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations1,986 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
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  • 2002The Unreliability of Output-Gap Estimates in Real Time944 cited
  • 1998Detrending and business cycle facts922 cited
  • 1995Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research869 cited
  • 1993Low frequency filtering and real business cycles757 cited
  • 1981Post-War U.S. Business Cycles: An Empirical Investigation636 cited
  • 1994Stylized facts of business cycles in the G7 from a real business cycles perspective293 cited

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1998
Sources and propagation of international output cycles: Common shocks or transmission?
155 cited
  • 2001The Hodrick–Prescott filter, the Slutzky effect, and the distortionary effect of filters154 cited
  • Cited by

    • 2009Globalization and business cycle transmission42 cited
    • 2010The intranational business cycle in Japan23 cited