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Distortionary effects of the optimal Hodrick-Prescott filter

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  • Ehlgen, Jurgen

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  • Ehlgen, Jurgen, 1998. "Distortionary effects of the optimal Hodrick-Prescott filter," Economics Letters, Elsevier, vol. 61(3), pages 345-349, December.
  • Handle: RePEc:eee:ecolet:v:61:y:1998:i:3:p:345-349
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    References listed on IDEAS

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    1. Cogley, Timothy & Nason, James M., 1995. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 253-278.
    2. King, Robert G. & Rebelo, Sergio T., 1993. "Low frequency filtering and real business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 17(1-2), pages 207-231.
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    Cited by:

    1. João Sousa Andrade & António Portugal Duarte, 2012. "The Importance of a Good Indicator for Global Exciess Demand," Book Chapters, Institute of Economic Sciences.
    2. Jaqueson K. Galimberti & Marcelo L. Moura, 2011. "Improving the reliability of real-time Hodrick-Prescott filtering using survey forecasts," Centre for Growth and Business Cycle Research Discussion Paper Series 159, Economics, The Univeristy of Manchester.
    3. Galimberti, Jaqueson K. & Moura, Marcelo L., 2016. "Improving the reliability of real-time output gap estimates using survey forecasts," International Journal of Forecasting, Elsevier, vol. 32(2), pages 358-373.
    4. Andrew Rennison, 2003. "Comparing Alternative Output-Gap Estimators: A Monte Carlo Approach," Staff Working Papers 03-8, Bank of Canada.
    5. Mise, Emi & Kim, Tae-Hwan & Newbold, Paul, 2005. "On suboptimality of the Hodrick-Prescott filter at time series endpoints," Journal of Macroeconomics, Elsevier, vol. 27(1), pages 53-67, March.
    6. Arturo Estrella, 2007. "Extracting business cycle fluctuations: what do time series filters really do?," Staff Reports 289, Federal Reserve Bank of New York.
    7. Juan Manuel Julio, 2011. "Data Revisions and the Output Gap," Borradores de Economia 642, Banco de la Republica de Colombia.
    8. Gunter Löffler, 2013. "Can rating agencies look through the cycle?," Review of Quantitative Finance and Accounting, Springer, vol. 40(4), pages 623-646, May.
    9. Rómulo A.Chumacero & Francisco A.Gallego, 2002. "Trends and cycles in real-time," Estudios de Economia, University of Chile, Department of Economics, vol. 29(2 Year 20), pages 211-229, December.

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