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Volumn 85, Issue 2, 2003, Pages 244-255

General model-based filters for extracting cycles and trends in economic time series

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0038015672     PISSN: 00346535     EISSN: None     Source Type: Journal    
DOI: 10.1162/003465303765299774     Document Type: Review
Times cited : (154)

References (18)
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    • November
    • Baxter, M., and R. G. King, "Measuring Business Cycles: Approximate Bandpass Filters for Economic Time Series," Review of Economics and Statistics 81 (November 1999), 575-593.
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    • Baxter, M.1    King, R.G.2
  • 2
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    • Signal extraction for nonstationary time series
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    • Bell, W.R.1
  • 3
    • 0010595164 scopus 로고    scopus 로고
    • National Bureau of Economic Research working paper no. 7257 (July)
    • Christiano, L., and T. Fitzgerald, "The Band Pass Filter," National Bureau of Economic Research working paper no. 7257 (July 1999).
    • (1999) The Band Pass Filter
    • Christiano, L.1    Fitzgerald, T.2
  • 4
    • 0040382317 scopus 로고
    • Effects of the Hodrick-Prescott filter on trend and difference stationary time series: Implications for business cycle research
    • January
    • Cogley, T., and J. M. Nason, "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 (January 1995), 253-278.
    • (1995) Journal of Economic Dynamics and Control , vol.19 , pp. 253-278
    • Cogley, T.1    Nason, J.M.2
  • 6
    • 0035646380 scopus 로고    scopus 로고
    • The use of butterworth filters for trend and cycle estimation in economic time series
    • July
    • Gomez, V., "The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series," Journal of Business and Economic Statistics 19 (July 2001), 365-373.
    • (2001) Journal of Business and Economic Statistics , vol.19 , pp. 365-373
    • Gomez, V.1
  • 8
    • 84986397960 scopus 로고
    • Detrending, stylised facts and the business cycle
    • July
    • Harvey, A. C., and A. Jaeger, "Detrending, Stylised Facts and the Business Cycle," Journal of Applied Econometrics 8 (July 1993), 231-247.
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    • Harvey, A.C.1    Jaeger, A.2
  • 10
    • 0040360986 scopus 로고    scopus 로고
    • Postwar U.S. business cycles: An empirical investigation
    • February
    • Hodrick, R. J., and E. C. Prescott, "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking 24 (February 1997), 1-16.
    • (1997) Journal of Money, Credit and Banking , vol.24 , pp. 1-16
    • Hodrick, R.J.1    Prescott, E.C.2
  • 12
    • 0002128713 scopus 로고
    • Nonparametric spline regression with autoregressive moving average errors
    • June
    • Kohn, R., C. Ansley, and C. H. Wong, "Nonparametric Spline Regression with Autoregressive Moving Average Errors," Biometrika 79 (June 1992), 335-346.
    • (1992) Biometrika , vol.79 , pp. 335-346
    • Kohn, R.1    Ansley, C.2    Wong, C.H.3
  • 13
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    • Statistical algorithms for models in state space using SsfPack 2.2
    • September
    • Koopman, S. J., N. Shephard, and J. Doornik, "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Econometrics Journal 2 (September 1999), 113-166.
    • (1999) Econometrics Journal , vol.2 , pp. 113-166
    • Koopman, S.1    Shephard, J.N.2    Doornik, J.3
  • 14
    • 0037405007 scopus 로고    scopus 로고
    • Computing observation weights for signal extraction and filtering
    • February
    • Koopman, S. J., and Harvey, A. C., "Computing Observation Weights for Signal Extraction and Filtering," Journal of Economic Dynamics and Control 27 (February 2003), 1317-1333.
    • (2003) Journal of Economic Dynamics and Control , vol.27 , pp. 1317-1333
    • Koopman, S.J.1    Harvey, A.C.2
  • 17
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    • Properties of a general class of stochastic cycles
    • March
    • Trimbur, T. M., "Properties of a general class of stochastic cycles," University of Cambridge mimeograph (March 2001).
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    • Trimbur, T.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.