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Method-of-Moments Measurement of UK Business Cycles

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  • Smith, Gregor W

Abstract

This paper illustrates measuring the U.K. business cycle (detrending) by extracting the component of aggregate output that has moments which most closely match those from business-cycle models. A member of a parametric family of detrending filters (which includes linear detrending and first differencing as special cases) is selected by the generalized method of moments. Illustrations use moments from (1) a fully calibrated, real business cycle model and (2) business-cycle indicators. Measured cycles are compared to those resulting from Hodrick-Prescott filtering and to the Central Statistical Office's reference cycle. Copyright 1996 by Royal Economic Society.

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  • Smith, Gregor W, 1996. "Method-of-Moments Measurement of UK Business Cycles," Oxford Economic Papers, Oxford University Press, vol. 48(4), pages 568-583, October.
    • Handle: RePEc:oup:oxecpp:v:48:y:1996:i:4:p:568-83
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    Cited by:

    1. Pascal Jacquinot, 2001. "L’inflation sous-jacente en France, en Allemagne et Royaume-Uni," Économie et Prévision, Programme National Persée, vol. 147(1), pages 171-185.

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