Estimation of the Business Cycles - Selected Methodological Problems of the Hodrick-Prescott Filter Application
AbstractThe aim of this article is to highlight a number of problems due to a rather „mechanical“ application of the Hodrick-Prescott Filter and its possible implication for the monetary policy decision-making process. The author concludes that HP filter is not able to estimate the potential output, however it could be used as the efficient tool in monetary policy decision making process and its stabilizing function.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 27567.
Date of creation: 01 Sep 2009
Date of revision:
Publication status: Published in Polish Journal of Environmental Studies 5B.18(2009): pp. 227-231
economic activity indicator; time series; BDS test; stochastic process; non-linearity;
Find related papers by JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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1996-2, Department of Finance Canada.
- Guay, A & St-Amant, P, 1996. "Do Mechanical Filters Provide a Good Approximation of Business Cycles?," Technical Reports 78, Bank of Canada.
- Celsa Machado, 2001. "Measuring Business Cycles: The Real Business Cycle Approach and Related Controversies," FEP Working Papers 107, Universidade do Porto, Faculdade de Economia do Porto.
- Jitka Poměnková, 2010. "An Alternative Approach to the Dating of Business Cycle: Nonparametric Kernel Estimation," Prague Economic Papers, University of Economics, Prague, vol. 2010(3), pages 251-272.
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