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Separating yolk from white: a filter based on economic properties of trend and cycle

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  • Peng Zhou

Abstract

This paper proposes a new filter technique to separate trend and cycle based on stylised economic properties, rather than relying on ad hoc statistical properties such as frequency. Given the theoretical separation between economic growth and business cycle literature, it is necessary to make measures of trend and cycle match what the respective theories intend to explain. The proposed filter is applied to the long macroeconomic data collected by the Bank of England (1700-2015).

Suggested Citation

  • Peng Zhou, 2021. "Separating yolk from white: a filter based on economic properties of trend and cycle," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 11(1), pages 78-83.
    • Handle: RePEc:ids:ijcome:v:11:y:2021:i:1:p:78-83
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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