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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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 &bull Diffusion Processes
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.:
- Finn E. Kydland & Edward C. Prescott, 1996.
"The Computational Experiment: An Econometric Tool,"
Journal of Economic Perspectives, American Economic Association,
American Economic Association, vol. 10(1), pages 69-85, Winter.
- Finn E. Kydland & Edward C. Prescott, 1994. "The computational experiment: an econometric tool," Working Paper 9420, Federal Reserve Bank of Cleveland.
- Finn E. Kydland & Edward C. Prescott, 1994. "The computational experiment: an econometric tool," Staff Report, Federal Reserve Bank of Minneapolis 178, Federal Reserve Bank of Minneapolis.
- 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.
- Marianne Baxter & Robert G. King, 1999.
"Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series,"
The Review of Economics and Statistics,
MIT Press, vol. 81(4), pages 575-593, November.
- Marianne Baxter & Robert G. King, 1995. "Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series," NBER Working Papers 5022, National Bureau of Economic Research, Inc.
- Tom Doan, . "BKFILTER: RATS procedure to implement band pass filter using Baxter-King method," Statistical Software Components RTS00026, Boston College Department of Economics.
- Bevilacqua ,Franco & Zon,Adriaan,van, 2001. "Random walks and non-linear paths in macroeconomic time series: Some evidence and implications," Research Memorandum, Maastricht University, Maastricht Economic Research Institute on Innovation and Technology (MERIT) 007, Maastricht University, Maastricht Economic Research Institute on Innovation and Technology (MERIT).
- Guay, A & St-Amant, P, 1996.
"Do Mechanical Filters Provide a Good Approximation of Business Cycles?,"
Technical Reports, Bank of Canada
78, Bank of Canada.
- Guay, A & St-Amant, P, 1996. "Do Mechanical Filters Provide a Good Approximation of Business Cycles?," Working Papers-Department of Finance Canada, Department of Finance Canada 1996-2, Department of Finance Canada.
- Jitka Poměnková, 2010. "An Alternative Approach to the Dating of Business Cycle: Nonparametric Kernel Estimation," Prague Economic Papers, University of Economics, Prague, University of Economics, Prague, vol. 2010(3), pages 251-272.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.