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Filtering economic time series: On the cyclical properties of Hamilton's regression filter and the Hodrick-Prescott filter
16 references·0 citing·44 second hop
Filtering economic time series: On the cyclical properties of Hamilton's regression filter and the Hodrick-Prescott filter (2024)Filtering economic time series: On the cy…The financial cycle and macroeconomics: What have we learnt? (2013)The financial cycle and macro…Bayesian Analysis of DSGE Models (2007)Bayesian Analysis of DSGE Mod…Medium-Term Business Cycles (2006)Medium-Term Business CyclesWhy Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? (2003)Why Are the Beveridge-Nelson …Dissecting the cycle: a methodological investigation (2002)Dissecting the cycle: a metho…The Band Pass Filter (1999)The Band Pass FilterMeasuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)Measuring Business Cycles: Ap…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…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…The Cyclical Component of U. S. Economic Activity (1987)The Cyclical Component of U. …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…Potential GNP: Its measurement and significance (1979)Potential GNP: Its measuremen…Econometric policy evaluation: A critique (1976)The Phillips curve and labor markets (1976)Growth and Slowdown in Advanced Capitalist Economies: Techniques of Quantitative Assessment (1995)The robustness of Okun's law: Evidence from OECD countries (2000)The Labor Market in the Great Recession (2010)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Rising inequality as a cause of the present crisis (2013)Fostering Green Investments and Tackling Climate-Related Financial Risks: Which Role for Macroprudential Policies? (2018)Finance, climate-change and radical uncertainty: Towards a precautionary approach to financial policy (2021)A Theory of the Consumption Function (1960)Optimal Properties of Exponentially Weighted Forecasts (1960)Time Series Analysis: Forecasting and Control (1977)Trends and random walks in macroeconmic time series (1982)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Measuring Business Cycles (1947)King Charles I (1981)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Growth Dynamics: The Myth of Economic Recovery (2008)When Credit Bites Back (2013)How Regions React to Recessions: Resilience and the Role of Economic Structure (2016)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)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Measuring Uncertainty (2015)Time to Build and Aggregate Fluctuations (1982)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)A Positive Theory of Monetary Policy in a Natural Rate Model (1983)Are Technology Improvements Contractionary? (2006)Fiscal Volatility Shocks and Economic Activity (2015)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)Housing Market Spillovers: Evidence from an Estimated DSGE Model (2010)Macroeconomic Effects of Financial Shocks (2012)Risk Shocks (2013)American Economic Review (2019)
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References

  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1999Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series2,829 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
  • 1999The Band Pass Filter1,909 cited
  • 2002Dissecting the cycle: a methodological investigation1,504 cited
  • 1979Potential GNP: Its measurement and significance1,462 cited
  • 2007Bayesian Analysis of DSGE Models1,367 cited
  • 1993Detrending, stylized facts and the business cycle1,202 cited
  • 2013The financial cycle and macroeconomics: What have we learnt?1,136 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
  • 2006Medium-Term Business Cycles797 cited
  • 1993Low frequency filtering and real business cycles757 cited
  • 1987The Cyclical Component of U. S. Economic Activity741 cited
  • 1981Post-War U.S. Business Cycles: An Empirical Investigation636 cited

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  • 2003Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?542 cited
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