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Effects of the Hodrick-Prescott filter on integrated time series

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  • Timothy Cogley
  • James M. Nason

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Bibliographic Info

Article provided by Federal Reserve Bank of San Francisco in its journal Proceedings.

Volume (Year): (1991)
Issue (Month): Nov ()
Pages:

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Handle: RePEc:fip:fedfpr:y:1991:i:nov:x:1

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Keywords: Time-series analysis ; Business cycles;

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Citations

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Cited by:
  1. João Valle e Azevedo, 2007. "Interpretation of the Effects of Filtering Integrated Time Series," Working Papers w200712, Banco de Portugal, Economics and Research Department.
  2. Braun, R. Anton & Evans, Charles L., 1995. "Seasonality and equilibrium business cycle theories," Journal of Economic Dynamics and Control, Elsevier, vol. 19(3), pages 503-531, April.
  3. Andrés, Javier & Doménech, Rafael & Fatás, Antonio, 2004. "The Stabilizing Role of Government Size," CEPR Discussion Papers 4384, C.E.P.R. Discussion Papers.
  4. Lindsay Tedds, 1998. "What goes up must come down (but not necessarily at the same rate): Testing for asymmetry in New Zealand time series," New Zealand Economic Papers, Taylor & Francis Journals, vol. 32(1), pages 41-55.
  5. Dobrescu, Emilian, 2006. "Integration of macroeconomic behavioural relationships and the input-output block: Romanian modelling experience," MPRA Paper 35748, University Library of Munich, Germany.
  6. Karras, Georgios & Song, Frank, 1996. "Sources of business-cycle volatility: An exploratory study on a sample of OECD countries," Journal of Macroeconomics, Elsevier, vol. 18(4), pages 621-637.
  7. Andrle, Michal, 2008. "The Role of Trends and Detrending in DSGE Models," MPRA Paper 13289, University Library of Munich, Germany.
  8. Jimborean, Ramona, 2013. "The exchange rate pass-through in the new EU member states," Economic Systems, Elsevier, vol. 37(2), pages 302-329.
  9. Dobrescu, Emilian, 2006. "Macromodel of the Romanian market economy (version 2005)," MPRA Paper 35749, University Library of Munich, Germany.
  10. Kennedy, James E., 1998. "An Analysis of Time-Series Estimates of Capacity Utilization," Journal of Macroeconomics, Elsevier, vol. 20(1), pages 169-187, January.
  11. João Valle e Azevedo, 2002. "Business Cycles: Cyclical Comovement Within the European Union in the Period 1960-1999. A Frequency Domain Approach," Working Papers w200205, Banco de Portugal, Economics and Research Department.
  12. Bec, Frédérique & Gollier, Christian, 2009. "Cyclicality and Term Structure of Value-at-Risk in Europe," IDEI Working Papers 587, Institut d'Économie Industrielle (IDEI), Toulouse.
  13. Semmler, Will & Gong, Gang, 1996. "Estimating parameters of real business cycle models," Journal of Economic Behavior & Organization, Elsevier, vol. 30(3), pages 301-325, September.

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