Filtering Economic Time Series
Author:
Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-030-76359-6_4
Reference22 articles.
1. Baxter, M., & King, R. G. (1999). Measuring business cycles: Approximate band-pass filters for economic time series. Review of Economics and Statistics, 81, 575–593.
2. Christiano, L. J., & Fitzgerald, T. J. (2003). The band pass filter. International Economic Review, 44, 435–465.
3. Cogley, T., & Nason, J. 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, 19, 253–278.
4. Craddock, J. M. (1957). An analysis of the slower temperature variations at Kew Observatory by means of exclusive bandpass filters. Journal of the Royal Statistical Society, 120, 387–397.
5. Hamilton, J. D. (2018). Why you should never use the Hodrick-Prescott filter. Review of Economics and Statistics, 100, 831–843.
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