Filtering economic time series: On the cyclical properties of Hamilton’s regression filter and the Hodrick-Prescott filter
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DOI: 10.1016/j.red.2024.101237
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- Yves Schueler, 2024. "Code and data files for "Filtering economic time series: On the cyclical properties of Hamilton’s regression filter and the Hodrick-Prescott filter"," Computer Codes 23-94, Review of Economic Dynamics.
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More about this item
Keywords
Business cycles; Detrending; Band pass filter; Forecast errors; Spurious cycles;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
Statistics
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