Cyclical Dynamics and Trend/Cycle Definitions: Comparing the HP and Hamilton Filters
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DOI: 10.1007/s41549-020-00039-x
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Cited by:
- Ziwei Mei & Peter C. B. Phillips & Zhentao Shi, 2024. "The boosted Hodrick‐Prescott filter is more general than you might think," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(7), pages 1260-1281, November.
- Ziwei Mei & Peter C. B. Phillips & Zhentao Shi, 2022.
"The boosted HP filter is more general than you might think,"
Papers
2209.09810, arXiv.org, revised Apr 2024.
- Ziwei Mei & Zhentao Shi & Peter C. B. Phillips, 2022. "The boosted HP filter is more general than you might think," Cowles Foundation Discussion Papers 2348, Cowles Foundation for Research in Economics, Yale University.
- Yves Schueler, 2024.
"Filtering economic time series: On the cyclical properties of Hamilton’s regression filter and the Hodrick-Prescott filter,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 54, October.
- 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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Keywords
Business cycles; HP filter; Macroeconomics;All these keywords.
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