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Efectos de las técnicas de filtrado en la evaluación de un modelo de ciclos económicos reales

Author

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  • Vásquez Bedoya, Fredy
  • Restrepo, Sergio

Abstract

ResumenEste trabajo emplea el filtro de Hodrick y Prescott (HP), el filtro Paso de Banda (PB) y una descomposición teórica (DT), para mostrar cómo las regularidades cíclicas caracterizadas por el modelo de crecimiento exógeno de King, Plosser y Rebelo (1988) dependen de la técnica de filtrado empleada. Este artículo exhibe diferencias estadísticamente significativas entre propiedades de los componentes cíclicos aislados con los filtros HP, PB y DT; en particular entre los filtros HP y PB, lo cual difiere de los resultados de Canova (1998). También se evidencia que el método de filtrado DT no es consistente con la definición del cíclico económico dada por la National Bureau of Economic Research (NBER).

Suggested Citation

  • Vásquez Bedoya, Fredy & Restrepo, Sergio, 2010. "Efectos de las técnicas de filtrado en la evaluación de un modelo de ciclos económicos reales," Revista Lecturas de Economía, Universidad de Antioquia, CIE, January.
    • Handle: RePEc:col:000174:006728
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    More about this item

    Keywords

    Modelo de crecimiento neoclásico básico; técnicas de filtrado; contrastes estadísticos; análisis en el dominio de la frecuencia;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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