Measuring business cycles: Approximate band-pass filters for economic time series

Review of Economics and Statistics

Volumn 81, Issue 4, 1999, Pages 575-593

  Baxter, Marianne ^a   King, Robert G ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0037596892     PISSN: 00346535     EISSN: None     Source Type: Journal    
DOI: 10.1162/003465399558454     Document Type: Article

References (23)

1. Backus, D., and P. Kehoe, "International Evidence on the Historical Properties of Business Cycles," American Economic Review 82 (Sep., 1992), 864-888.
2. Baxter, M., "Business Cycles, Stylized Facts, and the Exchange Rate Regime: Evidence from the United States," Journal of International Money and Finance 10 (Jan., 1991), 71-88.
3. _ "Real Exchange Rates and Real Interest Differentials: Have We Missed the Business-Cycle Relationship?" Journal of Monetary Economics 33 (Feb., 1994), 5-37.
4. Bry, G., and C. Boschan, Cyclical Analysis of Time Series: Selected Procedures and Computer Programs (New York: National Bureau of Economic Research, 1981).
5. Burns, A. M., and W. C. Mitchell, Measuring Business Cycles (New York: National Bureau of Economic Research, 1946).
6. Craddock, J. M., "An Analysis of the Slower Temper Variations at Kew Observatory by Means of Mutually Exclusive Bandpass Filters," Journal of the Royal Statistical Society, 120 (1957), 387-397.
7. Engle, R., and C. Granger, "Co-Integration and Error Correction: Representation, Estimation, and Testing," Econometrica 55 (March, 1987), 251-276.
8. Englund, P., T. Persson, and L. E. O. Svensson, "Swedish Business Cycles: 1861-1988," Journal of Monetary Economics 30 (Dec., 1992), 343-371.
9. Granger, C., "The Typical Spectral Shape of An Economic Variable," Econometrica 34 (Jan., 1966), 150-161.
10. Granger, C. W. J., and M., Spectral Analysis of Economic Time Series (Princeton, N.J.: Princeton University Press, 1964).
11. Harvey, A. C., Time Series Models (New York: John Wiley and Sons, 1981).
12. Hassler, J., P. Lundvik, T. Persson, and P. Soderlind, "The Swedish Business Cycle: Stylized Facts over 130 Years," in V. Bergstrom, A. Vredin (eds.), Measuring and interpreting business cycles. (Oxford and New York: Oxford University Press, Clarendon Press, 1994), 9-108.
13. Hodrick, R. J., and E. C. Prescott, "Post-war U.S. Business Cycles: An Empirical Investigation," working paper, Carnegie-Mellon University (1980).
14. King, R. G., and S. T. Rebelo, "Low Frequency Filtering and Real Business Cycles," Rochester Center for Economic Research working paper No. 205, University of Rochester (Oct., 1989).
15. _ "Low Frequency Filtering and Real Business Cycles," Journal of Economic Dynamics and Control 17 (Jan., 1993), 207-231.
16. King, R. G., and C. I. Plosser, "Real Business Cycles and the Test of the Adelmans," Journal of Monetary Economics 33 (April, 1994), 405-438.
17. King, R. G., and M. W. Watson, "The Post-War U.S. Phillips Curve: A Revisionist Econometric History," Carnegie Rochester Conference Series on Public Policy 41 (Fall, 1994), 157-219.
18. Koopmans, L., The Spectral Analysis of Time Series (New York: Academic Press, 1974).
19. Kydland, F., and E. C. Prescott, "Real Facts and A Monetary Myth," Federal Reserve Bank of Minneapolis, Quarterly Review 14 (Spring, 1990), 3-18.
20. Prescott, E. C., "Theory Ahead of Business Cycle Measurement," Carnegie-Rochester Conference Series on Public Policy 25 (Fall, 1986), 11-66.
21. Stock, J. H., and M. W. Watson, "Business Cycle Fluctuations in U.S. Macroeconomic Time Series, in J. Taylor and M. Woodford (eds.), Handbook of Macroeconomics, Amsterdam: Elsevier Science Publishers, 1999).
22. Rush, M., Y. Li, and L. Zhu, "Filtering Methodology and Fit in Dynamic Business Cycle Models," University of Florida working paper (1997).
23. Watson, M. W., "Business Cycle Duration and Postwar Stabilization of the U.S. Economy," American Economic Review 84 (March, 1994), 24-46.