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Effects of Filter Techniques on the Evaluation of a Model of Real Economic Cycles

Author

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  • Fredy Vásquez Bedoya
  • Sergio Restrepo Ochoa

Abstract

This work uses the Hodrick and Prescott filter (HP), the Band-Pass filter (BP), and a theoretical decomposition (TD), to show how the cyclical regularities characterized by the model of exogenous growth of King, Plosser and Rebelo (1988) depend on the filter technique used. This article exhibits statistically significant differences between properties of the cyclical components isolated with the HP, BP and TD filters; in particular between the HP and BP filters, which differs from the results of Canova (1998). It also shows that the TD filter technique is not consistent with the definition of economic cycle given by the National Bureau of Economic Research (NBER).

Suggested Citation

  • Fredy Vásquez Bedoya & Sergio Restrepo Ochoa, 2009. "Effects of Filter Techniques on the Evaluation of a Model of Real Economic Cycles," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 71, pages 43-76.
    • Handle: RePEc:lde:journl:y:2009:i:71:p:43-76
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    More about this item

    Keywords

    Basic Neoclassical Growth Model; Detrending Methods; Statistical Tests; Frequencydomain Analysis;
    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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