A Note on Band-Pass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators
The Organisation for Economic Co-operation and Development (OECD) began to use a band-pass filter, based on the Hodrick-Prescott filter (HPband-pass filter), to calculate the composite leading indicators (CLIs) in December2008. Other than the filter adopted by the OECD, there is an alternative HPband-pass filter. This note examines whether the application of these two alternative HPband-pass filters in the calculations of the OECD’s CLIs lead to negligible differences. JEL Classification: E32; C22 Keywords: Hodrick-Prescott band-pass filter; Composite leading indicators.© beawolf - Fotolia.com
Year of publication: |
2011
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Authors: | Yamada, Hiroshi |
Published in: |
OECD Journal: Journal of Business Cycle Measurement and Analysis. - Organisation de Coopération et de Développement Économiques (OCDE), ISSN 1995-2899. - Vol. 2011.2011, 2, p. 105-109
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Publisher: |
Organisation de Coopération et de Développement Économiques (OCDE) |
Saved in:
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