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Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter
Flaig, Gebhard - CESifo - 2012
The HP filter is the most popular filter for extracting the trend and cycle components from an observed time series. Many researchers consider the smoothing parameter ë = 1600 as something like an universal constant. It is well known that the HP filter is an optimal filter under some...
Persistent link: https://www.econbiz.de/10010548563
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Does the Euro-zone Diverge? A Stress Indicator for Analyzing Trends and Cycles in Real GDP and Inflation
Flaig, Gebhard; Wollmershäuser, Timo - CESifo - 2007
This paper presents a stress indicator for the Euro-zone that summarizes developments of trends and cycles in real GDP …
Persistent link: https://www.econbiz.de/10005094297
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Modelling Long-Run Trends and Cycles in Financial Time Series Data
Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - CESifo - 2008
suggested model includes linear and non-linear time trends, and stationary and nonstationary processes based on integer and …
Persistent link: https://www.econbiz.de/10005181402