Distortionary effects of the optimal Hodrick-Prescott filter
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- King, R.G. & Rebelo, S.T., 1989.
"Low Frequency Filtering And Real Business Cycles,"
RCER Working Papers
205, University of Rochester - Center for Economic Research (RCER).
- Timothy Cogley & James M. Nason, 1993.
"Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research,"
Working Papers in Applied Economic Theory
93-01, Federal Reserve Bank of San Francisco.
- 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.
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