Real-time US GDP gap properties using Hamilton’s regression-based filter
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability
Link
http://link.springer.com/article/10.1007/s00181-019-01631-6/fulltext.html
Reference8 articles.
1. Cayen J-P, van Norden S (2005) The reliability of Canadian output-gap estimates. N Am J Econ Finance 16:373–393
2. Cornea-Madeira A (2017) The explicit formula for the Hodrick–Prescott filter in a finite sample. Rev Econ Stat 99(2):314–318
3. Hamilton JD (2018) Why you should never use the Hodrick–Prescott filter. Rev Econ Stat 100(5):831–843
4. Hodrick RJ, Prescott EC (1981) Post-War U.S. business cycles: an empirical investigation. Discussion Paper #451, Northwestern University
5. Hodrick RJ, Prescott EC (1997) Postwar U.S. business cycles: an empirical investigation. J Money Credit Bank 29(1):1–16
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