Filtering macroeconomic data
In: Handbook of Research Methods and Applications in Empirical Macroeconomics
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Nigar Hashimzade & Michael A. Thornton (ed.), 2013. "Handbook of Research Methods and Applications in Empirical Macroeconomics," Books, Edward Elgar Publishing, number 14327.
- Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(3), pages 231-247, July-Sept.
- Stephen Pollock, 2000. "Circulant Matrices and Time-series Analysis," Working Papers 422, Queen Mary University of London, School of Economics and Finance.
- Pollock, D. S. G., 2000. "Trend estimation and de-trending via rational square-wave filters," Journal of Econometrics, Elsevier, vol. 99(2), pages 317-334, December.
- Cogley, Timothy & Nason, James M., 1995.
"Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research,"
Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 253-278.
- Timothy Cogley & James M. Nason, 1993. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research," Working Papers in Applied Economic Theory 93-01, Federal Reserve Bank of San Francisco.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Kaiser, Regina & Maravall, Agustin, 2005.
"Combining filter design with model-based filtering (with an application to business-cycle estimation),"
International Journal of Forecasting, Elsevier, vol. 21(4), pages 691-710.
- Regina Kaiser & Agustín Maravall, 2004. "Combining filter design with model based filtering (with an application to business cycle estimation)," Working Papers 0417, Banco de España.
- Pollock D. S. G., 2013.
"Cycles, Syllogisms and Semantics: Examining the Idea of Spurious Cycles,"
Journal of Time Series Econometrics, De Gruyter, vol. 6(1), pages 81-102, September.
- Stephen Pollock, 2014. "Cycles, Syllogisms and Semantics: Examining the Idea of Spurious Cycles," Discussion Papers in Economics 14/03, Division of Economics, School of Business, University of Leicester.
- Kristian Jönsson, 2020. "Cyclical Dynamics and Trend/Cycle Definitions: Comparing the HP and Hamilton Filters," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 16(2), pages 151-162, November.
- Van Norden, Simon, 2004. "Filtres pour l’analyse courante," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 523-546, Juin-Sept.
- Simon van Norden, 2002. "Filtering for Current Analysis," Staff Working Papers 02-28, Bank of Canada.
- Phuong Nguyen-Hoang, 2015. "Volatile earmarked revenues and state highway expenditures in the United States," Transportation, Springer, vol. 42(2), pages 237-256, March.
- Ard den Reijer, 2006. "The Dutch business cycle: which indicators should we monitor?," DNB Working Papers 100, Netherlands Central Bank, Research Department.
- Vadim Kufenko, 2020. "Hide-and-Seek with time-series filters: a model-based Monte Carlo study," Empirical Economics, Springer, vol. 59(5), pages 2335-2361, November.
- Jesús Cuaresma & Ernest Gnan & Doris Ritzberger-Gruenwald, 2004. "Searching for the natural rate of interest: a euro area perspective," Economic Change and Restructuring, Springer, vol. 31(2), pages 185-204, June.
- Marco Gallegati & Mauro Gallegati, 2005. "Wavelet variance and correlation analyses of output in G7 countries," Macroeconomics 0512017, University Library of Munich, Germany.
- João T. Jalles, 2022. "Do credit rating agencies reward fiscal prudence?," International Finance, Wiley Blackwell, vol. 25(1), pages 2-22, April.
- Javier J. Pérez & Jesús Rodríguez López & Carlos Usabiaga, 2002. "Análisis Dinámico de la Relación entre Ciclo Económico y Ciclo del Desempleo en Andalucía en Comparación con el Resto de España," Economic Working Papers at Centro de Estudios Andaluces E2002/07, Centro de Estudios Andaluces.
- Drew, Aaron & Hunt, Benjamin, 2000.
"Efficient simple policy rules and the implications of potential output uncertainty,"
Journal of Economics and Business, Elsevier, vol. 52(1-2), pages 143-160.
- Aaron Drew & Benjamin Hunt, 1999. "Efficient simple policy rules and the implications of potential output uncertainty," Reserve Bank of New Zealand Discussion Paper Series G99/5, Reserve Bank of New Zealand.
- Amado Peiró, 2000. "Economic Comovements In European Countries," Working Papers. Serie EC 2000-19, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Maravall, A. & del Rio, A., 2007.
"Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter,"
Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 975-998, October.
- Agustín Maravall & Ana del Río, 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Working Papers 0728, Banco de España.
- Klaus Reiner Schenk-Hopp�, "undated". "Economic Growth and Business Cycles: A Critical Comment on Detrending Time Series (Revised Version)," IEW - Working Papers 054, Institute for Empirical Research in Economics - University of Zurich.
- Yongsung Chang & Sunoong Hwang, 2015.
"Asymmetric Phase Shifts in U.S. Industrial Production Cycles,"
The Review of Economics and Statistics, MIT Press, vol. 97(1), pages 116-133, March.
- Sunoong Hwang & Yongsung Chang, 2011. "Asymmetric Phase Shifts in U.S. Industrial Production Cycles," 2011 Meeting Papers 31, Society for Economic Dynamics.
- Yongsung Chang & Sunoong Hwang, 2011. "Asymmetric Phase Shifts in the U.S. Industrial Production Cycles," RCER Working Papers 564, University of Rochester - Center for Economic Research (RCER).
- Schüler, Yves S. & Hiebert, Paul P. & Peltonen, Tuomas A., 2020. "Financial cycles: Characterisation and real-time measurement," Journal of International Money and Finance, Elsevier, vol. 100(C).
- Luca Benati, 2001. "Band-pass filtering, cointegration, and business cycle analysis," Bank of England working papers 142, Bank of England.
- Michaelides, Panayotis & Milios, John, 2009. "TFP change, output gap and inflation in the Russian Federation (1994-2006)," Journal of Economics and Business, Elsevier, vol. 61(4), pages 339-352, July.
More about this item
Keywords
Economics and Finance; Research Methods;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:elg:eechap:14327_5. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Darrel McCalla (email available below). General contact details of provider: http://www.e-elgar.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.