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Why You Should Never Use the Hodrick-Prescott Filter
16 references·16 citing·42 second hopsampled
Why You Should Never Use the Hodrick-Prescott Filter (2017)Why You Should Never Use the Hodrick-Pres…Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…Understanding Crude Oil Prices (2008)Understanding Crude Oil PricesOn Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)On Adjusting the Hodrick-Pres…Are Phillips Curves Useful for Forecasting Inflation? (2001)Are Phillips Curves Useful fo…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…Low frequency filtering and real business cycles (1993)Low frequency filtering and r…Detrending, stylized facts and the business cycle (1993)Detrending, stylized facts an…Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…Statistical Inference in Regressions with Integrated Processes: Part 1 (1988)Statistical Inference in Regr…Time Series Regression with a Unit Root (1987)Time Series Regression with a…Post-War U.S. Business Cycles: An Empirical Investigation (1981)Post-War U.S. Business Cycles…A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)A new approach to decompositi…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Stochastic Implications of th…A Classical Macroeconometric Model for the United States (1976)A Classical Macroeconometric …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Measuring the Financial Cycle in South Africa (2020)Measuring the Financial Cycle…Intertemporal asset pricing with bitcoin (2020)Intertemporal asset pricing w…The External Balance Assessment Methodology: 2018 Update (2019)The External Balance Assessme…The anatomy of financial vulnerabilities and banking crises (2018)The anatomy of financial vuln…TFP Growth and Commodity Prices in Emerging Economies (2018)TFP Growth and Commodity Pric…Regional business cycle synchronization in emerging and developing countries: Regional or global integration? 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References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence3,581 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 2002On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations1,986 cited
  • 2008Understanding Crude Oil Prices1,270 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
  • 1993Low frequency filtering and real business cycles757 cited
  • 1988Statistical Inference in Regressions with Integrated Processes: Part 1749 cited
  • 2001Are Phillips Curves Useful for Forecasting Inflation?731 cited
  • 1981Post-War U.S. Business Cycles: An Empirical Investigation

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636 cited
  • 1976A Classical Macroeconometric Model for the United States553 cited
  • Cited by

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    • 2013From Boom to Bust: A Typology of Real Commodity Prices in the Long Run212 cited
    • 2018Economic Convergence in the Euro Area: Coming Together or Drifting Apart?92 cited
    • 2015Credit-Market Sentiment and the Business Cycle88 cited
    • 2018Private debt overhang and the government spending multiplier: Evidence for the United States87 cited
    • 2018TFP Growth and Commodity Prices in Emerging Economies67 cited
    • 2018Patterns of Panic: Financial Crisis Language in Historical Newspapers53 cited
    • 2017Historical Patterns of Inequality and Productivity around Financial Crises45 cited
    • 2019The External Balance Assessment Methodology: 2018 Update39 cited
    • 2017Credit-Market Sentiment and the Business Cycle38 cited
    • 2018Regional business cycle synchronization in emerging and developing countries: Regional or global integration? Trade or financial integration?37 cited
    • 2018The anatomy of financial vulnerabilities and banking crises34 cited
    • 2020Measuring the Financial Cycle in South Africa31 cited
    • 2018Pre-Brexit29 cited
    • 2017U.S. wage growth and nonlinearities: The roles of inflation and unemployment25 cited
    • 2020Intertemporal asset pricing with bitcoin23 cited