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Trend estimation and de-trending via rational square-wave filters
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- Ard den Reijer, 2006. "The Dutch business cycle: which indicators should we monitor?," DNB Working Papers 100, Netherlands Central Bank, Research Department.
- Lars-H. R. Siemers, 2024. "On the Hamilton-HP Filter Controversy: Evidence from German Business Cycles," MAGKS Papers on Economics 202421, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Johannes W. Fedderke & Daniel K. Mengisteab, 2017.
"Estimating South Africa's Output Gap and Potential Growth Rate,"
South African Journal of Economics, Economic Society of South Africa, vol. 85(2), pages 161-177, June.
- Johannes Fedderke & Daniel Mengisteab, 2016. "Estimating South Africas output gap and potential growth rate," Working Papers 7191, South African Reserve Bank.
- Daniel K. Mengisteab & Johannes W. Fedderke, 2016. "Estimating South Africa’s output gap and potential growth rate," Working Papers 67, Economic Research Southern Africa.
- José Eduardo Gómez G. & Jair Ojeda Joya & Fernando Tenjo Galarza & Héctor Manuel Zárate Solano, 2013.
"The Interdependence between Credit and Real Business Cycles in Latin American Economies,"
Borradores de Economia
768, Banco de la Republica de Colombia.
- José Eduardo Gómez & Jair Ojeda Joya & Fernando Tenjo Galarza & Héctor Manuel Zárate Solano, 2013. "The Interdependence between Credit and Real Business Cycles in Latin American Economies," Borradores de Economia 10833, Banco de la Republica.
- Blöchl, Andreas, 2014. "Penalized Splines as Frequency Selective Filters - Reducing the Excess Variability at the Margins," Discussion Papers in Economics 20687, University of Munich, Department of Economics.
- Marcel Schroder, 2013. "Should developing countries undervalue their currencies?," Departmental Working Papers 2013-12, The Australian National University, Arndt-Corden Department of Economics.
- Dimitrios D. Thomakos, 2008.
"Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration,"
Working Paper series
14_08, Rimini Centre for Economic Analysis.
- Dimitrios Thomakos, 2008. "Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration," Working Papers 0024, University of Peloponnese, Department of Economics.
- Terence Mills, 2007. "A Note on Trend Decomposition: The 'Classical' Approach Revisited with an Application to Surface Temperature Trends," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(8), pages 963-972.
- McElroy, Tucker & Sutcliffe, Andrew, 2006. "An iterated parametric approach to nonstationary signal extraction," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2206-2231, May.
- Tommaso Proietti, 2009.
"On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates,"
Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 186-208.
- Tommaso Proietti, 2004. "On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," Econometrics 0403007, University Library of Munich, Germany.
- Tommaso Proietti, 2006. "On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," CEIS Research Paper 84, Tor Vergata University, CEIS.
- Sabaj, Ernil, 2018. "Cyclical Behavior of Fiscal Policy in the Western Balkans," MPRA Paper 84279, University Library of Munich, Germany.
- Kose, M. Ayhan & Kurlat, Sergio & Ohnsorge, Franziska & Sugawara, Naotaka, 2022.
"A cross-country database of fiscal space,"
Journal of International Money and Finance, Elsevier, vol. 128(C).
- M. Ayhan Kose & Sergio Kurlat & Franziska Ohnsorge & Naotaka Sugawara, 2017. "A Cross-Country Database of Fiscal Space," Koç University-TUSIAD Economic Research Forum Working Papers 1713, Koc University-TUSIAD Economic Research Forum.
- M. Ayhan Kose & Sergio Kurlat & Franziska Ohnsorge & Naotaka Sugawara, 2017. "A cross-country database of fiscal space," CAMA Working Papers 2017-48, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Kose,Ayhan & Kurlat,Sergio Andres & Ohnsorge,Franziska Lieselotte & Sugawara,Naotaka, 2017. "A cross-country database of fiscal space," Policy Research Working Paper Series 8157, The World Bank.
- Kose, M. Ayhan & Kurlat , Sergio & Ohnsorge, Franziska & Sugawara, Naotaka, 2017. "A Cross-Country Database of Fiscal Space," CEPR Discussion Papers 12196, C.E.P.R. Discussion Papers.
- David Shepherd & Rebeca I. Muñoz Torres & George Saridakis, 2019. "Monetary policy rules with PID control features: evidence from the UK, USA and EU," International Review of Applied Economics, Taylor & Francis Journals, vol. 33(6), pages 737-755, November.
- Johannes W. Fedderke, 2020. "Is the Phillips curve framework still useful for understanding inflation dynamics in South Africa," Working Papers 10142, South African Reserve Bank.
- Pollock, D.S.G., 2006. "Introduction to the special issue on statistical signal extraction and filtering," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2137-2145, May.
- 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.
- Luca Benati, 2001. "Band-pass filtering, cointegration, and business cycle analysis," Bank of England working papers 142, Bank of England.
- Proietti, Tommaso, 2007. "Signal extraction and filtering by linear semiparametric methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 935-958, October.
- Iryna Sotnyk & Tetiana Kurbatova & Oleksandr Kubatko & Olha Prokopenko & Gunnar Prause & Yevhen Kovalenko & Galyna Trypolska & Uliana Pysmenna, 2021. "Energy Security Assessment of Emerging Economies under Global and Local Challenges," Energies, MDPI, vol. 14(18), pages 1-20, September.
- Qing Pei & David D Zhang & Harry F Lee & Guodong Li, 2014. "Climate Change and Macro-Economic Cycles in Pre-Industrial Europe," PLOS ONE, Public Library of Science, vol. 9(2), pages 1-8, February.
- Priyadarshi Dash, 2017. "Predicting Financial Crises: A Study of Asian Economies," Global Business Review, International Management Institute, vol. 18(5), pages 1262-1277, October.
- André Nunes Maranhão, 2024. "Brazilian Business Cycle Analysis in a High-Dimensional and Time-Irregular Span Context," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 20(1), pages 1-58, August.
- Pollock Stephen D.S.G., 2009.
"Statistical Fourier Analysis: Clarifications and Interpretations,"
Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-49, April.
- D.S.G. Pollock, 2008. "Statistical Fourier Analysis: Clarifications and Interpretations," Discussion Papers in Economics 08/36, Division of Economics, School of Business, University of Leicester.
- Panayotis G. Michaelides & Efthymios G. Tsionas & Angelos T. Vouldis & Konstantinos N. Konstantakis & Panagiotis Patrinos, 2018. "A Semi-Parametric Non-linear Neural Network Filter: Theory and Empirical Evidence," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 637-675, March.
- Lechman, Ewa & Dominiak, Piotr, 2016. "Entrepreneurship vulnerability to business cycle. A new methodology for identification pro-cyclical and counter-cyclical patterns of entrepreneurial activity," MPRA Paper 68793, University Library of Munich, Germany.
- Claudio E. V. Borio & Andrew Filardo, 2007. "Globalisation and inflation: New cross-country evidence on the global determinants of domestic inflation," BIS Working Papers 227, Bank for International Settlements.
- Pollock, D.S.G., 2006.
"Econometric methods of signal extraction,"
Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2268-2292, May.
- Stephen Pollock, 2005. "Econometric Methods of Signal Extraction," Working Papers 530, Queen Mary University of London, School of Economics and Finance.
- repec:ers:journl:v:xxiv:y:2021:i:special1:p:875-890 is not listed on IDEAS
- Nibbering, Didier & Paap, Richard & van der Wel, Michel, 2018.
"What do professional forecasters actually predict?,"
International Journal of Forecasting, Elsevier, vol. 34(2), pages 288-311.
- Didier Nibbering & Richard Paap & Michel van der Wel, 2015. "What Do Professional Forecasters Actually Predict?," Tinbergen Institute Discussion Papers 15-095/III, Tinbergen Institute, revised 13 Oct 2017.
- D. S. G. Pollock, 2002. "A review of TSW: the Windows version of the TRAMO-SEATS program," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(3), pages 291-299.
- Ivan Mendieta-Muñoz, 2014. "Is there any relationship between the rates of interest and profit in the U.S. economy?," Studies in Economics 1416, School of Economics, University of Kent.
- Tadeusz Kufel, 2021. "Covid-19 Pandemic Lockdown vs. Business Cycle Clock Registration of New Passenger Cars in European Countries," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 1), pages 875-890.
- D. S. G. Pollock, 2016.
"Econometric Filters,"
Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 669-691, December.
- Stephen Pollock, 2014. "Econometric Filters," Discussion Papers in Economics 14/07, Division of Economics, School of Business, University of Leicester.
- D.S.G. Pollock, 2017. "Econometric Filters," Discussion Papers in Economics 17/01, Division of Economics, School of Business, University of Leicester.
- Andrew Phiri, 2014. "Nonlinear Co-Integration Between Unemployment and Economic Growth in South Africa," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 12(4 (Winter), pages 303-324.
- Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
- Siliverstovs Boriss, 2013. "Dating Business Cycles in Historical Perspective: Evidence for Switzerland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 233(5-6), pages 661-679, October.
- Combey, Adama, 2014. "Le Policy mix de la zone UEMOA garantit-il la Stabilité Intérieure et la Croissance ? [Does the WAEMU Zone Policy mix Guarantees Internal Stability and growth?]," MPRA Paper 54064, University Library of Munich, Germany.
- 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.
- Anelí Bongers & José L. Torres & Jesús Rodríguez, 2010. "Caracterización del ciclo económico en Andalucía 1980 - 2008," Economic Working Papers at Centro de Estudios Andaluces E2010/08, Centro de Estudios Andaluces.
- 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.
- Tommaso Proietti, 2012.
"Seasonality, Forecast Extensions And Business Cycle Uncertainty,"
Journal of Economic Surveys, Wiley Blackwell, vol. 26(4), pages 555-569, September.
- Proietti, Tommaso, 2010. "Seasonality, Forecast Extensions and Business Cycle Uncertainty," MPRA Paper 20868, University Library of Munich, Germany.
- Ishita Ghoshal, 2022. "Cost-Push and Demand-Pull Inflation in India ? A Frequency Domain Analysis," Proceedings of Economics and Finance Conferences 13015641, International Institute of Social and Economic Sciences.
- Godolphin, E.J. & Triantafyllopoulos, Kostas, 2006. "Decomposition of time series models in state-space form," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2232-2246, May.
- Túlio Cravo, 2011. "Are Small Firms more cyclically Sensitive than Large Ones? National, Regional and Sectoral Evidence from Brazil," ERSA conference papers ersa10p507, European Regional Science Association.
- Vitor Castro & Boris Fisera, 2022. "Determinants of the Duration of Economic Recoveries: The Role of ´Too Much Finance´," Working Papers IES 2022/33, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Dec 2022.
- Simon van Norden, 2002. "Filtering for Current Analysis," Staff Working Papers 02-28, Bank of Canada.
- Lukáš Kučera, 2014. "Investment of Czech Institutional Sectors in the Business Cycle," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2014(1), pages 41-61.
- Phuong Nguyen-Hoang, 2015. "Volatile earmarked revenues and state highway expenditures in the United States," Transportation, Springer, vol. 42(2), pages 237-256, March.
- 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.
- D. Stephen G. Pollock, 2021. "Enhanced Methods of Seasonal Adjustment," Econometrics, MDPI, vol. 9(1), pages 1-23, January.
- Stephen Pollock, 2001. "Signal Extraction, Maximum Likelihood Estimation and the Start-up Problem," Working Papers 433, Queen Mary University of London, School of Economics and Finance.
- Thornton, Michael A., 2013. "Removing seasonality under a changing regime: Filtering new car sales," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 4-14.
- Schröder, Marcel, 2013. "Should developing countries undervalue their currencies?," Journal of Development Economics, Elsevier, vol. 105(C), pages 140-151.
- Yang, Jinyu & Dong, Dayong & Liang, Chao, 2024. "Climate policy uncertainty and the U.S. economic cycle," Technological Forecasting and Social Change, Elsevier, vol. 202(C).
- Stephen Pollock, 2005. "Econometric Methods of Signal Extraction," Working Papers 530, Queen Mary University of London, School of Economics and Finance.
- Pollock, D. S. G., 2003.
"Recursive estimation in econometrics,"
Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
- Stephen Pollock, 2002. "Recursive Estimation in Econometrics," Working Papers 462, Queen Mary University of London, School of Economics and Finance.
- Lukáš Kučera & Karel Brůna, 2014. "Dynamika změny stavu zásob a její synchronizace s cyklem úspor a importu v české republice v letech 1999-2012 [A Dynamics of Inventories and Its Synchronization with a Cycle of Savings and Import i," Politická ekonomie, Prague University of Economics and Business, vol. 2014(5), pages 605-629.
- Iolanda Lo Cascio & Stephen Pollock, 2007. "Comparative Economic Cycles," Working Papers 599, Queen Mary University of London, School of Economics and Finance.
- Jorge E. Galán, 2019. "Measuring credit-to-gdp gaps. The hodrick-prescott filter revisited," Occasional Papers 1906, Banco de España.
- Stephen Pollock, 2001. "Signal Extraction, Maximum Likelihood Estimation and the Start-up Problem," Working Papers 433, Queen Mary University of London, School of Economics and Finance.
- Zhao, Shan & Wei, G. W., 2003. "Jump process for the trend estimation of time series," Computational Statistics & Data Analysis, Elsevier, vol. 42(1-2), pages 219-241, February.
- Emmanuel Apergis & Nicholas Apergis, 2019. "“Sakura” has not grown in a day: infrastructure investment and economic growth in Japan under different tax regimes," Empirical Economics, Springer, vol. 57(2), pages 541-567, August.
- Phiri, Andrew, 2014. "Re-evaluating Okun's law in South Africa: A nonlinear co-integration approach," MPRA Paper 57398, University Library of Munich, Germany.
- Crafts, Nicholas & Mills, Terence C., 2004. "Was 19th century British growth steam-powered?: the climacteric revisited," Explorations in Economic History, Elsevier, vol. 41(2), pages 156-171, April.
- Stephen Pollock, 2002. "Recursive Estimation in Econometrics," Working Papers 462, Queen Mary University of London, School of Economics and Finance.
- D.S.G. Pollock, 2009.
"IDEOLOG: A Program for Filtering Econometric Data -- A Synopsis of Alternative Methods,"
EHUCHAPS, in: Ignacio Díaz-Emparanza & Petr Mariel & María Victoria Esteban (ed.), Econometrics with gretl. Proceedings of the gretl Conference 2009, edition 1, chapter 2, pages 15-44,
Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales.
- D.S.G. Pollock, 2008. "IDEOLOG: A Program for Filtering Econometric Data - A Synopsis of Alternative Methods," Discussion Papers in Economics 08/21, Division of Economics, School of Business, University of Leicester.
- Michal Andrle, 2013. "What Is in Your Output Gap? Unified Framework & Decomposition into Observables," IMF Working Papers 2013/105, International Monetary Fund.
- Iolanda Lo Cascio & Stephen Pollock, 2007. "Comparative Economic Cycles," Working Papers 599, Queen Mary University of London, School of Economics and Finance.
- D.S.G. Pollock, 2018. "The Manual for IDEOLOG.PAS. A Program for Filtering Econometric Data," Discussion Papers in Economics 19/09, Division of Economics, School of Business, University of Leicester.
- Sarah Lima & Marco Malgarini, 2016. "Does a Survey Based Capacity Utilization Measure Help Predicting Brazilian Output Gap in Real-Time?," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 119-139, September.
- Schröder, Marcel, 2017. "Mercantilism and China's hunger for international reserves," China Economic Review, Elsevier, vol. 42(C), pages 15-33.
- Lukáš Kučera, 2018. "Investice v transmisním mechanismu cílování inflace verifikace zdrojů variability investic v České republice [Investment in the Transmission Mechanism of Inflation Targeting - Verification of Sourc," Politická ekonomie, Prague University of Economics and Business, vol. 2018(2), pages 201-217.
- Terence C. Mills & David I. Harvey, 2003. "Modelling trends in central England temperatures," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 35-47.
- Proietti, Tommaso, 2005. "New algorithms for dating the business cycle," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 477-498, April.
- D.S.G. Pollock, 2013. "Filtering macroeconomic data," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 5, pages 95-136, Edward Elgar Publishing.
- Huang, Ho-Chuan & Lin, Pei-Chien, 2016. "The trade effects of counter-cyclical fiscal policies," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 82-95.