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The quarterly national accounts trend-cycle filter versus model-based filters

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Author Info

  • Víctor Gómez

    ()
    (Ministry of Economics and Finance, Dirección General de Análisis y P.P., Paseo de la Castellana 162, E-28046 Madrid, Spain)

  • Pilar Bengoechea

    ()
    (Ministry of Economics and Finance, Dirección General de Análisis y P.P., Paseo de la Castellana 162, E-28046 Madrid, Spain)

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    Abstract

    In this paper, we first review the Spanish Quarterly National Accounts (Sqna) trend-cycle filter and give a formula to compute the first component of the filter that corrects an error in the expression that has been used in the Sqna System so far. Then, the results obtained with this last filter are compared to the ones obtained using the Tramo andSeats programs, which apply a model-based methodology. It is concluded that the {\sc Sqna} filter presents some problems, such us the generation of spurious cycles, a phase delay, non-efficient initial conditions and larger estimation errors, which can be avoided if model-based filters are used. A Hodrick-Prescott filter with a suitable smoothing parameter is proposed to smooth trend-cycle series that are somewhat volatile and have been obtained with model-based filters. In this way, smooth signals can be obtained that are free of spurious cycles.

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    File URL: http://link.springer.de/link/service/journals/10108/papers/0002001/00020029.pdf
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    Bibliographic Info

    Article provided by Springer in its journal Spanish Economic Review.

    Volume (Year): 2 (2000)
    Issue (Month): 1 ()
    Pages: 29-48

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    Handle: RePEc:spr:specre:v:2:y:2000:i:1:p:29-48

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    Cited by:
    1. Francisco Xavier Lores, 2001. "Growth And Cyclical Fluctuations In Spanish Macroeconomic Series," Economics Working Papers we014609, Universidad Carlos III, Departamento de Economía.
    2. Regina Kaiser & Agustín Maravall, 2002. "A Complete Model-Based Interpretation of the Hodrick-Prescott Filter: Spuriousness Reconsidered," Banco de Espa�a Working Papers 0208, Banco de Espa�a.

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