Do Mechanical Filters Provide a Good Approximation of Business Cycles?

In this paper, the authors examine how weel the Hodrick-Prescott filter (HP) and the band-pass filter recently proposed by Baxter and King (BK) extract the business-cycle component of macroeconomic time series.

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Year of publication:	1996
Authors:	Guay, A ; St-Amant, P
Institutions:	Bank of Canada
Subject:	BUSINESS CYCLES

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Series:	Technical Reports.
Type of publication:	Book / Working Paper
Notes:	40 pages
Classification:	E32 - Business Fluctuations; Cycles ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005162367