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Effects of Filter Techniques on the Evaluation of a Model of Real Economic Cycles

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  • Fredy Vásquez Bedoya

    ()

  • Sergio Restrepo Ochoa

    ()

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    Abstract

    This work uses the Hodrick and Prescott filter (HP), the Band-Pass filter (BP), and a theoretical decomposition (TD), to show how the cyclical regularities characterized by the model of exogenous growth of King, Plosser and Rebelo (1988) depend on the filter technique used. This article exhibits statistically significant differences between properties of the cyclical components isolated with the HP, BP and TD filters; in particular between the HP and BP filters, which differs from the results of Canova (1998). It also shows that the TD filter technique is not consistent with the definition of economic cycle given by the National Bureau of Economic Research (NBER).

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    File URL: ftp://ftp.drivehq.com/cavasco/lecturas/numero71/n71a2.pdf
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    Bibliographic Info

    Article provided by Universidad de Antioquia, Departamento de Economía in its journal LECTURAS DE ECONOMÍA.

    Volume (Year): (2009)
    Issue (Month): 71 ()
    Pages: 43-76

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    Handle: RePEc:lde:journl:y:2009:i:71:p:43-76

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    Web page: http://economia.udea.edu.co
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    Postal: Lecturas de Economía, Departamento de Economía, Calle 67, 53-108, Medellin 050010, Colombia.

    Related research

    Keywords: Basic Neoclassical Growth Model; Detrending Methods; Statistical Tests; Frequencydomain Analysis;

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