Hodrick, Robert J. - 2020
Baxter and King (1999), and the H filter of Hamilton (2018) that are designed to decompose a univariate time series into … trend and cyclical components. Each simulated time series approximates the natural logarithms of U.S. Real GDP, and they are … stochastic trends and definitive cyclical components. In basic time series, the H filter dominates the HP and BK filters in more …