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Distortionary effects of the optimal Hodrick-Prescott filter

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  • Ehlgen, Jurgen
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    File URL: http://www.sciencedirect.com/science/article/B6V84-3Y8WGMK-F/2/cf8a956ea78b477dd4b8bad2bd44a272
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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 61 (1998)
    Issue (Month): 3 (December)
    Pages: 345-349

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    Handle: RePEc:eee:ecolet:v:61:y:1998:i:3:p:345-349

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    Web page: http://www.elsevier.com/locate/ecolet

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    1. 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.
    2. King, R.G. & Rebelo, S.T., 1989. "Low Frequency Filtering And Real Business Cycles," RCER Working Papers 205, University of Rochester - Center for Economic Research (RCER).
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    Cited by:
    1. Andrew Rennison, 2003. "Comparing Alternative Output-Gap Estimators: A Monte Carlo Approach," Working Papers 03-8, Bank of Canada.
    2. João Sousa Andrade & António Portugal Duarte, 2012. "The Importance of a Good Indicator for Global Exciess Demand," Book Chapters, Institute of Economic Sciences.
    3. Rómulo A. Chumacero & Francisco A. Gallego, 2001. "Trends and Cycles in Real-Time," Working Papers Central Bank of Chile 130, Central Bank of Chile.
    4. Arturo Estrella, 2007. "Extracting business cycle fluctuations: what do time series filters really do?," Staff Reports 289, Federal Reserve Bank of New York.
    5. Mise, Emi & Kim, Tae-Hwan & Newbold, Paul, 2005. "On suboptimality of the Hodrick-Prescott filter at time series endpoints," Journal of Macroeconomics, Elsevier, vol. 27(1), pages 53-67, March.

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