The Hodrick-Prescott filter, the Slutzky effect, and the distortionary effect of filters

Journal of Economic Dynamics and Control

Volumn 25, Issue 8, 2001, Pages 1081-1101

  Pedersen, Torben Mark ^a  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Business cycles; C22; Detrending; E32; Hodrick Prescott filter; Optimal filtering; Slutzky effect

Indexed keywords

EID: 0001119848     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(99)00059-7     Document Type: Note

References (25)

1. Baxter, M., King, R.G., 1995. Measuring business cycles: approximate band-pass filters for economic time series. NBER Working paper no. 5022.
2. Berk K.N. Consistent autoregressive spectral estimates. The Annals of Statistics. 2:1974;489-502.
3. Blackburn, K., Ravn, M.O., 1991. Univariate detrending of macroeconomic time series. Institute of Economics, University of Aarhus, Working paper no. 1991:22.
4. Blanchard, O.J., Fischer, S., 1989. Lectures on Macroeconomics. MIT Press, Cambridge, MA.
5. Cogley T., Nason J.M. Effects of the Hodrick-Prescott filter on trend and difference stationary time series. Implications for business cycle research. Journal of Economic Dynamics and Control. 19:1995;253-278.
6. Granger C.W.J. The typical spectral shape of an economic variable. Econometrica. 34:1966;150-161.
7. Guay, A., St-Amant, P., 1997. Do the Hodrick-Prescott and Baxter-King filters provide a good approximation of business cycles? Working Paper no. 53. Université du Québec à Montréal.
8. Harvey, A.C., 1993. Time Series Models, 2nd Edition, Harvester Wheatsheaf, London.
9. Harvey A.C., Jaeger A. Detrending, stylized facts, and the business cycle. Journal of Applied Econometrics. 8:1993;231-247.
10. Hodrick, R.J., Prescott, E.C., 1997. Postwar U.S. business cycles: An empirical investigation. Journal of Money, Credit, and Banking 29, 1-16. Carnegie-Mellon working paper, 1980 .
11. King, R.G., Rebelo, S.T., 1989. Low frequency filtering and real business cycles. Rochester Center for Economic Research, Working paper no. 205.
12. King R.G., Rebelo S.T. Low frequency filtering and real business cycles. Journal of Economic Dynamics and Control. 17:1993;207-231.
13. Koopmans, L.H., 1974. The Spectral Analysis of Time Series. Academic Press, New York.
14. Kuznets, S.S., 1961. Capital and the American Economy: Its Formation and Financing. New York.
15. Mathworks, 1998. MATLAB 5.2.
16. Nelson C.R., Plosser C.I. Trends and random walks in macroeconomic time series. Journal of Monetary Economics. 10:1982;139-162.
17. Park G. The role of detrending methods in a model of real business cycles. Journal of Macroeconomics. 18:1996;479-501.
18. Parzen, E., 1969. Multiple time series modelling. In: Krishnaiah (Ed.), Multivariate Analysis, Vol. II. Academic Press, New York.
19. Pedersen, T.M., 1999. Spectral analysis, business cycles, and filtering of economic time series. A survey. Manuscript. Institute of Economics, University of Copenhagen. http: // www.econ.ku.dk / tmp / manuscripts.htm#Spectral.
20. Prescott E.C. Theory ahead of business-cycle measurement. Carnegie-Rochester Conference Series on Public Policy. 25:1986;11-44.
21. Sargent, T.J., 1987. Macroeconomic Theory, 2nd Edition. Academic Press, New York.
22. Singleton K.J. Econometric issues in the analysis of equilibrium business cycle models. Journal of Monetary Economics. 21:1988;361-386.
23. Slutzky, E., 1937. The summation of random causes as the source of cyclic processes. Econometrica 37, 105-146 (in Russian 1927 ).
24. Whittle, P., 1983. Prediction and Regulation, 2nd Edition. Basil Blackwell, Oxford.
25. Wiener, N., 1949. Extrapolation, Interpolation, and Smoothing of Stationary Time Series. MIT Press, Cambridge, MA.