Selecting a Boosted HP Filter for Growth Cycle Analysis Based on Maximising Sharpness
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DOI: 10.1007/s41549-024-00093-9
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More about this item
Keywords
Boosted HP filter; Hodrick–Prescott filter; Growth cycles; Transfer function; Sharpness; Cut-off frequency;All these keywords.
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
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
Statistics
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