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On suboptimality of the Hodrick-Prescott filter at time series endpoints

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  • Mise, Emi
  • Kim, Tae-Hwan
  • Newbold, Paul

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Macroeconomics.

Volume (Year): 27 (2005)
Issue (Month): 1 (March)
Pages: 53-67

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Handle: RePEc:eee:jmacro:v:27:y:2005:i:1:p:53-67

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Web page: http://www.elsevier.com/locate/inca/622617

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  1. David K. Backus & Patrick J. Kehoe, 1992. "International Evidence on the Historical Properties of Business Cycles," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 92-5, New York University, Leonard N. Stern School of Business, Department of Economics.
  2. Ehlgen, Jurgen, 1998. "Distortionary effects of the optimal Hodrick-Prescott filter," Economics Letters, Elsevier, vol. 61(3), pages 345-349, December.
  3. Granger, Clive W J, 1997. "On Modelling the Long Run in Applied Economics," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 107(440), pages 169-77, January.
  4. 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).
  5. Harvey, Andrew, 1997. "Trends, Cycles and Autoregressions," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 107(440), pages 192-201, January.
  6. Marianne Baxter & Robert G. King, 1995. "Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series," NBER Working Papers 5022, National Bureau of Economic Research, Inc.
  7. St-Amant, P. & van Norden, S., 1997. "Measurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada," Technical Reports, Bank of Canada 79, Bank of Canada.
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