The HP filter suffers from a pro-cyclical bias in end-of-sample trend estimates. This paper argues that this feature is related to the 'missing cycle' in the stochastic model of the filter. The paper suggest an extensions of the HP filter by including a stochastic cycle component in the...

In diesem Papier wird eine Konjunkturbereinigung des öffentlichen Haushaltssaldos für Deutschland vorgestellt. In den bisher am meisten verbreiteten Ansätzen wird der Konjunktureinfluss über die Abweichung des Bruttoinlandsprodukts vom Trend oder von der Normalauslastung der Wirtschaft...

Measuring economic activity in real-time is a crucial issue in applied research and in the decision-making process of policy makers; however, it also poses intricate challenges to statistical filtering methods that are built to operate optimally under the auspices of an infinite number of...