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Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research

Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. On the Evils of Hodrick-Prescott Detrending
    by Francis Diebold in No Hesitations on 2016-08-17 18:45:00

Citations

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Cited by:

  1. Robert A. Blecker, 2016. "Wage-led versus profit-led demand regimes: the long and the short of it," Review of Keynesian Economics, Edward Elgar Publishing, vol. 4(4), pages 373-390, October.
  2. J. J. Reeves & C. A. Blyth & C. M. Triggs & J. P. Small, "undated". "The Hodrick-Prescott Filter, a Generalisation, and a New Procedure for Extracting an Empirical Cycle from a Series," Reports 9602, University of Auckland, Department of Economics.
  3. Chistiano, Lawrence J & den Haan, Wouter J, 1996. "Small-Sample Properties of GMM for Business-Cycle Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 309-327, July.
  4. Xiao, Zhongyi & Chen, Haitao & Chen, Kang, 2023. "How does institutional investors' information acquisition inhibit share pledging? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 89(C).
  5. Guisinger, Amy Y., 2020. "Gender differences in the volatility of work hours and labor demand," Journal of Macroeconomics, Elsevier, vol. 66(C).
  6. Fernández-Amador, Octavio, 2016. "Finance-augmented business cycles: A robustness check," Papers 1038, World Trade Institute.
  7. Kuzman, Tanja & Lazarevic, Jelisaveta & Nedeljkovic, Milan, 2022. "Capital flows liberalisation and macroprudential policies: The effects on credit cycles in emerging economies," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 602-619.
  8. Takashi Kano & James M. Nason, 2014. "Business Cycle Implications of Internal Consumption Habit for New Keynesian Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 519-544, March.
  9. Ard den Reijer, 2006. "The Dutch business cycle: which indicators should we monitor?," DNB Working Papers 100, Netherlands Central Bank, Research Department.
  10. Lars-H. R. Siemers, 2024. "On the Hamilton-HP Filter Controversy: Evidence from German Business Cycles," MAGKS Papers on Economics 202421, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  11. 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.
  12. Sharon McCaw, 2007. "Stylised facts about New Zealand business cycles," Reserve Bank of New Zealand Discussion Paper Series DP2007/04, Reserve Bank of New Zealand.
  13. Lokman Gunduz, 2001. "Monetary Transmission and Bank Lending in Turkey," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 5(18), pages 13-32.
  14. Loukoianova, E. & Vahey, S.P. & Elizabeth C. Wakerly, 2002. "A Real Time Tax Smoothing Based Fiscal Policy Rule," Cambridge Working Papers in Economics 0235, Faculty of Economics, University of Cambridge.
  15. Joseph G. Haubrich, 2020. "How Cyclical Is Bank Capital?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 58(1), pages 27-38, August.
  16. Martha Misas A. & Enrique López E., 2000. "La utilización de la capacidad instalada de la industria en Colombia: un nuevo enfoque," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 18(38), pages 5-44, December.
  17. José Luis Cendejas & Félix-Fernando Muñoz & Nadia Fernández-de-Pinedo, 2017. "A contribution to the analysis of historical economic fluctuations (1870–2010): filtering, spurious cycles, and unobserved component modeling," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 11(1), pages 93-125, January.
  18. António Rua & Nuno Lourenço, 2022. "Business cycle clocks: Time to get circular," Working Papers w202201, Banco de Portugal, Economics and Research Department.
  19. Gwin, Carl R. & VanHoose, David D., 2008. "Alternative measures of marginal cost and inflation in estimations of new Keynesian inflation dynamics," Journal of Macroeconomics, Elsevier, vol. 30(3), pages 928-940, September.
  20. Michaelides, Panayotis G. & Papageorgiou, Theofanis & Vouldis, Angelos T., 2013. "Business cycles and economic crisis in Greece (1960–2011): A long run equilibrium analysis in the Eurozone," Economic Modelling, Elsevier, vol. 31(C), pages 804-816.
  21. Petre Caraiani, 2009. "An Estimation of Output Gap in Romanian Economy Using the DSGE Approach," Prague Economic Papers, Prague University of Economics and Business, vol. 2009(4), pages 366-379.
  22. Artis, Michael & Marcellino, Massimiliano & Proietti, Tommaso, 2004. "Characterizing the Business Cycle for Accession Countries," CEPR Discussion Papers 4457, C.E.P.R. Discussion Papers.
  23. John Addison & McKinley Blackburn & Chad Cotti, 2015. "On the robustness of minimum wage effects: geographically-disparate trends and job growth equations," IZA Journal of Labor Economics, Springer;Forschungsinstitut zur Zukunft der Arbeit GmbH (IZA), vol. 4(1), pages 1-16, December.
  24. Günes Kamber & James Morley & Benjamin Wong, 2018. "Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter," The Review of Economics and Statistics, MIT Press, vol. 100(3), pages 550-566, July.
  25. Uhlig, H.F.H.V.S. & Ravn, M., 1997. "On Adjusting the H-P Filter for the Frequency of Observations," Discussion Paper 1997-50, Tilburg University, Center for Economic Research.
  26. Dupasquier, Chantal & Guay, Alain & St-Amant, Pierre, 1999. "A Survey of Alternative Methodologies for Estimating Potential Output and the Output Gap," Journal of Macroeconomics, Elsevier, vol. 21(3), pages 577-595, July.
  27. Zsolt Darvas & György Szapáry, 2008. "Business Cycle Synchronization in the Enlarged EU," Open Economies Review, Springer, vol. 19(1), pages 1-19, February.
  28. Omoshoro-Jones, Oyeyinka Sunday, 2021. "Asymmetry in Okun’s Law Revisited: New evidence on cyclical unemployment–cyclical output trade-off in the Free State Province using NARDL model," MPRA Paper 107126, University Library of Munich, Germany.
  29. Florian Eckert & Nina Mühlebach, 2021. "Global and Local Components of Output Gaps," KOF Working papers 21-497, KOF Swiss Economic Institute, ETH Zurich.
  30. Patricia Aranda-Cuéllar & José María López-Morales & María Jesús Such-Devesa, 2021. "Winter tourism dependence: A cyclical and cointegration analysis. Case study for the Alps," Tourism Economics, , vol. 27(7), pages 1540-1560, November.
  31. Barot, Bharat, 2002. "Growth and Business Cycles for the Swedish Economy 1963-1999," Working Papers 79, National Institute of Economic Research.
  32. Eric M. Leeper & James M. Nason, 2014. "Bringing Financial Stability into Monetary Policy," CAMA Working Papers 2014-72, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  33. Zsolt Darvas & György Szapáry, 2004. "Business Cycle Synchronisation in the Enlarged EU: Comovements in the New and Old Members," MNB Working Papers 2004/1, Magyar Nemzeti Bank (Central Bank of Hungary).
  34. Charles Ka Yui Leung & Joe Cho Yiu Ng, 2018. "Macro Aspects of Housing," GRU Working Paper Series GRU_2018_016, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
  35. Uebele, Martin & Ritschl, Albrecht, 2009. "Stock markets and business cycle comovement in Germany before World War I: Evidence from spectral analysis," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 35-57, March.
  36. He, Dong & Liao, Wei & Wu, Tommy, 2015. "Hong Kong's growth synchronization with China and the US: A trend and cycle analysis," Journal of Asian Economics, Elsevier, vol. 40(C), pages 10-28.
  37. repec:spo:wpmain:info:hdl:2441/5por5bt92h8l0bc7ls4elmcc0b is not listed on IDEAS
  38. Francis X. Diebold & Lutz Kilian, 2001. "Measuring predictability: theory and macroeconomic applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 657-669.
  39. Chrysanthakopoulos, Christos & Tagkalakis, Athanasios, 2024. "The medium-term effects of fiscal policy rules," Journal of International Money and Finance, Elsevier, vol. 142(C).
  40. Razzu, Giovanni & Singleton, Carl, 2016. "Gender and the business cycle: An analysis of labour markets in the US and UK," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 131-146.
  41. Petrosky-Nadeau, Nicolas & Wasmer, Etienne, 2015. "Macroeconomic dynamics in a model of goods, labor, and credit market frictions," Journal of Monetary Economics, Elsevier, vol. 72(C), pages 97-113.
  42. Schenk-Hoppé Klaus Reiner, 2001. "Economic Growth and Business Cycles: A Critical Comment on Detrending Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(1), pages 1-13, April.
  43. Pagan, Adrian & Robinson, Tim, 2022. "Excess shocks can limit the economic interpretation," European Economic Review, Elsevier, vol. 145(C).
  44. Marlon Fritz, 2019. "Data-Driven Local Polynomial Trend Estimation for Economic Data - Steady State Adjusting Trends," Working Papers Dissertations 49, Paderborn University, Faculty of Business Administration and Economics.
  45. Martha Misas & Enrique López, 1999. "El producto potencial en Colombia: una estimación bajo var estructural," Coyuntura Económica, Fedesarrollo, September.
  46. Andres, Javier & Domenech, Rafael, 2006. "Automatic stabilizers, fiscal rules and macroeconomic stability," European Economic Review, Elsevier, vol. 50(6), pages 1487-1506, August.
  47. Antonio Carneiro de Almeida Júnior, 2023. "Currency Crisis or Overproduction? A Marxian Analysis of the Exchange Rate Peg Collapse in Brazil," Review of Radical Political Economics, Union for Radical Political Economics, vol. 55(3), pages 466-489, September.
  48. Hildegart Ahumada & María Lorena Garegnani, 2000. "Assesing Hp Filter Performance for Argentina and U.S. Macro Aggregates," Journal of Applied Economics, Taylor & Francis Journals, vol. 3(2), pages 257-284, November.
  49. Thomas M. Trimbur, 2006. "Detrending economic time series: a Bayesian generalization of the Hodrick-Prescott filter," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(4), pages 247-273.
  50. Selin Ozyurt, 2009. "Total Factor Productivity Growth in Chinese Industry: 1952-2005," Oxford Development Studies, Taylor & Francis Journals, vol. 37(1), pages 1-17.
  51. Leo Butler, 1996. "The Bank of Canada's New Quarterly Porjection Model Part 4 : A Semi- Structural Method to Estimate Potential Output : Combining Economic Theory with a Time-Series Filter," Technical Reports 77, Bank of Canada.
  52. Wiriyawit Varang & Wong Benjamin, 2016. "Structural VARs, deterministic and stochastic trends: how much detrending matters for shock identification," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(2), pages 141-157, April.
  53. Donayre, Luiggi & Panovska, Irina, 2018. "U.S. wage growth and nonlinearities: The roles of inflation and unemployment," Economic Modelling, Elsevier, vol. 68(C), pages 273-292.
  54. Elmar Mertens, 2005. "Puzzling Comovements between Output and Interest Rates? Multiple Shocks are the Answer," Working Papers 05.05, Swiss National Bank, Study Center Gerzensee.
  55. Luis Miguel Galindo & Horacio Catalán, 2005. "The Taylor Rule And The Exchange Rate In Mexico (An Empirical Appraisal)," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 4(2), pages 115-125, Junio 200.
  56. Mayers, Sherry-Ann & Jackman, Mahalia, 2011. "Investigating the business cycle properties of tourist flows to Barbados," MPRA Paper 38646, University Library of Munich, Germany.
  57. Andrew Dickerson & Heather Gibson & Euclid Tsakalotos, 1998. "Business Cycle Correspondence in the European Union," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 25(1), pages 49-75, January.
  58. Lisa Sella & Gianna Vivaldo & Andreas Groth & Michael Ghil, 2016. "Economic Cycles and Their Synchronization: A Comparison of Cyclic Modes in Three European Countries," Post-Print hal-01701122, HAL.
  59. Lee, Jim, 2000. "The Robustness of Okun's Law: Evidence from OECD Countries," Journal of Macroeconomics, Elsevier, vol. 22(2), pages 331-356, April.
  60. Latifa Ghalayini, 2018. "Monetary policy and business cycle fluctuations of the Lebanese economy," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 7(1), pages 1-15, December.
  61. Andreas Groth & Michael Ghil & Stéphane Hallegatte & Patrice Dumas, 2015. "The role of oscillatory modes in US business cycles," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2015(1), pages 63-81.
  62. Sayan, Serdar & Tekin-Koru, Ayca, 2007. "Remittances, Business Cycles and Poverty: The Recent Turkish Experience," MPRA Paper 6029, University Library of Munich, Germany.
  63. Efrem Castelnuovo, 2013. "What does a Monetary Policy Shock Do? An International Analysis with Multiple Filters," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 759-784, October.
  64. Comunale, Mariarosaria, 2022. "A panel VAR analysis of macro-financial imbalances in the EU," Journal of International Money and Finance, Elsevier, vol. 121(C).
  65. Cogley, Timothy, 2001. "Estimating and testing rational expectations models when the trend specification is uncertain," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1485-1525, October.
  66. Jalles, João Tovar, 2018. "Fiscal rules and fiscal counter-cyclicality," Economics Letters, Elsevier, vol. 170(C), pages 159-162.
  67. Andres, Javier & Domenech, Rafael & Fatas, Antonio, 2008. "The stabilizing role of government size," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 571-593, February.
  68. McCallum, Bennett T & Nelson, Edward, 1999. "An Optimizing IS-LM Specification for Monetary Policy and Business Cycle Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(3), pages 296-316, August.
  69. Chen, Xiaoshan & MacDonald, Ronald, 2010. "Revisiting the Dollar-Euro Permanent Equilibrium Exchange Rate: Evidence from Multivariate Unobserved Components Models," SIRE Discussion Papers 2010-41, Scottish Institute for Research in Economics (SIRE).
  70. Nicholas Apergis & Alexandros Panethimitakis, 2011. "Stylised facts of Greek business cycles: new evidence from aggregate and across regimes data," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 3(2), pages 147-165.
  71. Katsuyuki Shibayama, 2008. "On the Periodicity of Inventories," Studies in Economics 0806, School of Economics, University of Kent.
  72. Hart, Robert A. & Malley, James R., 1999. "On the Cyclicality and Stability of Real Earnings," IZA Discussion Papers 45, Institute of Labor Economics (IZA).
  73. Kauermann Goeran & Krivobokova Tatyana & Semmler Willi, 2011. "Filtering Time Series with Penalized Splines," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-28, March.
  74. Álvarez, Luis J. & Gómez-Loscos, Ana, 2018. "A menu on output gap estimation methods," Journal of Policy Modeling, Elsevier, vol. 40(4), pages 827-850.
  75. Revyakin, Georgiy, 2017. "A New Approach To The Nature Of Economic Cycles And Their Analysis In The Global Context," EUREKA: Social and Humanities, Scientific Route OÜ, issue 5, pages 27-37.
  76. Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz, 1998. "Dynamic Equilibrium Economies: A Framework for Comparing Models and Data," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 433-451.
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  78. Movshuk, Oleksandr, 2003. "Does the choice of detrending method matter in demand analysis?," Japan and the World Economy, Elsevier, vol. 15(3), pages 341-359, August.
  79. João Sousa Andrade & António Portugal Duarte, 2011. "The Portuguese Public Finances and the Spanish Horse," GEMF Working Papers 2011-21, GEMF, Faculty of Economics, University of Coimbra.
  80. João Tovar Jalles, 2019. "Monetary Aggregates and Macroeconomic Performance: The Portuguese Escudo, 1911–1999," International Economic Journal, Taylor & Francis Journals, vol. 33(4), pages 719-740, October.
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  82. International Monetary Fund, 2004. "Luxembourg: Selected Issues," IMF Staff Country Reports 2004/124, International Monetary Fund.
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  85. Carnazza, Giovanni & Liberati, Paolo & Sacchi, Agnese, 2020. "The cyclically-adjusted primary balance: A novel approach for the euro area," Journal of Policy Modeling, Elsevier, vol. 42(5), pages 1123-1145.
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  88. Raul Ibarra & Luis M. Gomez-Zamudio, 2017. "Are Daily Financial Data Useful for Forecasting GDP? Evidence from Mexico," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Spring 20), pages 173-203, April.
  89. Berger, Tino & Richter, Julia & Wong, Benjamin, 2022. "A unified approach for jointly estimating the business and financial cycle, and the role of financial factors," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
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  132. Steven Cook, 2006. "A Disaggregated Analysis of Asymmetrical Behaviour in the UK Housing Market," Urban Studies, Urban Studies Journal Limited, vol. 43(11), pages 2067-2074, October.
  133. Jesús Cuaresma & Ernest Gnan & Doris Ritzberger-Gruenwald, 2004. "Searching for the natural rate of interest: a euro area perspective," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 31(2), pages 185-204, June.
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