Why You Should Never Use the Hodrick-Prescott Filter
Author:
Affiliation:
1. University of California, San Diego
Publisher
MIT Press - Journals
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Link
https://www.mitpressjournals.org/doi/pdf/10.1162/rest_a_00706
Reference26 articles.
1. Was the recent downturn in US real GDP predictable?
2. A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’
3. Empirical exchange rate models of the nineties: Are any fit to survive?
4. Asymptotic Normality of the Least-Squares Estimates for Higher Order Autoregressive Integrated Processes with Some Applications
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