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Do Mechanical Filters Provide a Good Approximation of Business Cycles?

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  • Alain Guay
  • Pierre St-Amant

Abstract

In this paper, the authors examine how weel the Hodrick-Prescott filter (HP) and the band-pass filter recently proposed by Baxter and King (BK) extract the business-cycle component of macroeconomic time series.

Suggested Citation

  • Alain Guay & Pierre St-Amant, 1996. "Do Mechanical Filters Provide a Good Approximation of Business Cycles?," Technical Reports 78, Bank of Canada.
    • Handle: RePEc:bca:bocatr:78
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    More about this item

    Keywords

    BUSINESS CYCLES;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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