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Filtering for Current Analysis

  • Simon van Norden

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File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-28.pdf
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Paper provided by Bank of Canada in its series Working Papers with number 02-28.

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Length: 44 pages Abstract: This paper shows how existing band-pass filtering techniques and their extension can be applied to the common current-analysis problem of estimating current trends or cycles. These techniques give estimates that are "optimal" given the available data, so their standard errors represent a lower bound on what can be achieved with other univariate techniques. Applications to the problems of estimating current trend productivity growth, core inflation, and output gaps are considered.
Date of creation: 2002
Date of revision:
Handle: RePEc:bca:bocawp:02-28
Contact details of provider: Postal: 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada
Phone: 613 782-8845
Fax: 613 782-8874
Web page: http://www.bank-banque-canada.ca/

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  1. Den Haan, Wouter & Sumner, Steven, 2001. "The Comovements between Real Activity and Prices in the G7," CEPR Discussion Papers 2801, C.E.P.R. Discussion Papers.
  2. Athanasios Orphanides & Simon van Norden, 2002. "The Unreliability of Output-Gap Estimates in Real Time," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 569-583, November.
  3. James C. Morley & Charles Nelson & Eric Zivot, 2000. "Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?," Working Papers 0013, University of Washington, Department of Economics.
  4. Douglas Staiger & James H. Stock & Mark W. Watson, 1997. "The NAIRU, Unemployment and Monetary Policy," Journal of Economic Perspectives, American Economic Association, vol. 11(1), pages 33-49, Winter.
  5. 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.
  6. den Haan, Wouter J. & SUMNER, STEVEN W, 2001. "The Comovements Between Real Activity and Prices," University of California at San Diego, Economics Working Paper Series qt8c23205t, Department of Economics, UC San Diego.
  7. Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(3), pages 231-47, July-Sept.
  8. St-Amant, P. & van Norden, S., 1997. "Measurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada," Technical Reports 79, Bank of Canada.
  9. Guay, A & St-Amant, P, 1996. "Do Mechanical Filters Provide a Good Approximation of Business Cycles?," Technical Reports 78, Bank of Canada.
  10. Marianne Baxter & Robert G. King, 1995. "Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series," NBER Working Papers 5022, National Bureau of Economic Research, Inc.
  11. James H. Stock & Mark W. Watson, 1998. "Business Cycle Fluctuations in U.S. Macroeconomic Time Series," NBER Working Papers 6528, National Bureau of Economic Research, Inc.
  12. Kuttner, Kenneth N, 1994. "Estimating Potential Output as a Latent Variable," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 361-68, July.
  13. Gomez, Victor, 2001. "The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 365-73, July.
  14. Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band pass filter," Working Paper 9906, Federal Reserve Bank of Cleveland.
    • Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, 05.
  15. Setterfield, M.A. & Gordon, D.V. & Osberg, L., 1990. "Searching For A Will O'The Wisp: An Empirical Study Of The Nairu In Canada," Department of Economics at Dalhousie University working papers archive 90-04, Dalhousie, Department of Economics.
  16. Pollock, D. S. G., 2000. "Trend estimation and de-trending via rational square-wave filters," Journal of Econometrics, Elsevier, vol. 99(2), pages 317-334, December.
  17. Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-27, June.
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