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Three new empirical perspectives on the Hodrick–Prescott parameter

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  • Kosei Fukuda

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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 39 (2010)
Issue (Month): 3 (December)
Pages: 713-731

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Handle: RePEc:spr:empeco:v:39:y:2010:i:3:p:713-731

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Keywords: Bayesian smoothness solution; Empirical perspective: Hodrick–Prescott filter; Multistep ahead forecasting; Output gap; C22; E32;

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References

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  1. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2006. "Money Growth, Output Gaps and Inflation at Low and High Frequency: Spectral Estimates for Switzerland," CEPR Discussion Papers 5723, C.E.P.R. Discussion Papers.
  2. Canova, Fabio, 1993. "Detrending and Business Cycle Facts," CEPR Discussion Papers 782, C.E.P.R. Discussion Papers.
  3. Fuhrer, Jeff & Tootell, Geoff, 2008. "Eyes on the prize: How did the fed respond to the stock market?," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 796-805, May.
  4. Harvey, A.C. & Trimbur, T.M. & van Dijk, H.K., 2005. "Trends and cycles in economic time series: A Bayesian approach," Econometric Institute Research Papers EI 2005-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  5. Camba-Mendez, Gonzalo & Rodriguez-Palenzuela, Diego, 2003. "Assessment criteria for output gap estimates," Economic Modelling, Elsevier, vol. 20(3), pages 529-562, May.
  6. Graham Elliott & Allan Timmermann, 2008. "Economic Forecasting," Journal of Economic Literature, American Economic Association, vol. 46(1), pages 3-56, March.
  7. Kosei Fukuda, 2006. "Age-period-cohort decomposition of aggregate data: an application to US and Japanese household saving rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(7), pages 981-998.
  8. Marcet, Albert & Ravn, Morten O., 2004. "The HP-Filter in Cross-Country Comparisons," CEPR Discussion Papers 4244, C.E.P.R. Discussion Papers.
  9. Marcellino, Massimiliano & Stock, James H & Watson, Mark W, 2005. "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," CEPR Discussion Papers 4976, C.E.P.R. Discussion Papers.
  10. Afonso, António & Furceri, Davide, 2008. "EMU enlargement, stabilization costs and insurance mechanisms," Journal of International Money and Finance, Elsevier, vol. 27(2), pages 169-187, March.
  11. J. Z. Easaw & S. M. Heravi & J. C. K. Ash & D. J. Smyth, 2002. "Are Hodrick-Prescott `forecasts' rational?," Empirical Economics, Springer, vol. 27(4), pages 631-643.
  12. Morten O. Ravn & Harald Uhlig, 2002. "On adjusting the Hodrick-Prescott filter for the frequency of observations," The Review of Economics and Statistics, MIT Press, vol. 84(2), pages 371-375.
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Cited by:
  1. Fukuda, Kosei, 2012. "Illustrating extraordinary shocks causing trend breaks," Economic Modelling, Elsevier, vol. 29(4), pages 1045-1052.

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