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Do The Hodrick Prescott And Baxter King Filters Provide A Good Approximation Of Business Cycles Computer File
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Author :Guay, Alain Publisher :[Montréal] : Centre de recherche sur l'emploi et les fluctuations économiques, Université du Québec à Montréal (CREFÉ) = Center for Research on Economic Fluctuations and Employment (CREFE) ISBN 13 : Total Pages : pages Book Rating :4.:/5 (484 download)
Book Synopsis Do the Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles? [computer File] by : Guay, Alain
Download or read book Do the Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles? [computer File] written by Guay, Alain and published by [Montréal] : Centre de recherche sur l'emploi et les fluctuations économiques, Université du Québec à Montréal (CREFÉ) = Center for Research on Economic Fluctuations and Employment (CREFE). This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Do Mechanical Filters Provide a Good Approximation of Business Cycles? by : Alain Guay
Download or read book Do Mechanical Filters Provide a Good Approximation of Business Cycles? written by Alain Guay and published by . This book was released on 1996 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, the authors examine how well the Hodrick-Prescott filter (HP) and the band-pass filter recently proposed by Baxter and King, 1995 (BK) extract the business-cycle component of macroeconomic time series. The authors assess these filters using two different definitions of the business-cycle component. First, they define that component to be fluctuations lasting no fewer than six and no more than 32 quarters; this is the BK definition of business-cycle frequencies. Second, they define the business-cycle component on the basis of a decomposition of the series into permanent and transitory components. A simulation study assesses how well these filters retrieve the cyclical component of a time series composed of a random walk and a transitory component. The authors also compare the cyclical component resulting from the application of the HP and BK filters with those obtained with the detrending methods proposed by Watson (1986) and Cochrane (1994) for United States output. Alternative methods are proposed to identify the business-cycle component.
Book Synopsis Measuring Business Cycles by : Marianne Baxter
Download or read book Measuring Business Cycles written by Marianne Baxter and published by . This book was released on 1995 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a set of approximate band-pass filters designed for use in a wide range of economic applications. In particular, we design and implement a specific band-pass filter which isolates business-cycle fluctuations in macroeconomic time series. This filter was designed to isolate fluctuations in the data which persist for periods of two through eight years. This filter also 'detrends' the data, in the sense that it will render stationary time series that are integrated of order two or less, or that contain deterministic time trends. We apply our filter to several of the key macroeconomic time series, and describe the picture of the U.S. postwar business cycle that emerges from our analysis. We also provide detailed comparisons with several alternative detrending methods.
Book Synopsis Time Aggregation and the Hodrick-Prescott Filter by : Agustín Maravall
Download or read book Time Aggregation and the Hodrick-Prescott Filter written by Agustín Maravall and published by . This book was released on 2001 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimation of the Business Cycle by : Regina Kaiser
Download or read book Estimation of the Business Cycle written by Regina Kaiser and published by . This book was released on 1999 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Boosted HP Filter for Business Cycle Analysis by : V. B. Hall
Download or read book A Boosted HP Filter for Business Cycle Analysis written by V. B. Hall and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Short-term and Long-term Trends, Seasonal Adjustment, and the Business Cycle by : Regina Kaiser
Download or read book Short-term and Long-term Trends, Seasonal Adjustment, and the Business Cycle written by Regina Kaiser and published by . This book was released on 1999 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analyzes in detail some of the major limitations of the standard procedure to estimate business cycles with the Hodrick-Prescott (HP) filter.
Book Synopsis Do Mechnical Filters Provide a Good Approximation of Business Cycles by : Alain Guay
Download or read book Do Mechnical Filters Provide a Good Approximation of Business Cycles written by Alain Guay and published by . This book was released on 1996 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Timothy Cogley Publisher :Department of Economics, University of British Columbia ISBN 13 : Total Pages :42 pages Book Rating :4.:/5 (318 download)
Book Synopsis Effects of the Hodrick-Prescott Filter on Trend and Difference Stationary Time Series by : Timothy Cogley
Download or read book Effects of the Hodrick-Prescott Filter on Trend and Difference Stationary Time Series written by Timothy Cogley and published by Department of Economics, University of British Columbia. This book was released on 1992 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Measuring Business Cyles : Approximate Band Filters for Economic Time Series by : Marianne Baxter
Download or read book Measuring Business Cyles : Approximate Band Filters for Economic Time Series written by Marianne Baxter and published by . This book was released on 1995 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Short-term and Long-term Trends, Seasonal Adjustment and the Business Cycle by : Regina Kaiser
Download or read book Short-term and Long-term Trends, Seasonal Adjustment and the Business Cycle written by Regina Kaiser and published by . This book was released on 1999 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Business Cycles written by Sumru G. Altug and published by World Scientific. This book was released on 2010 with total page 161 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title provides an overview of the modern theory and empirics of business cycles. The book examines the notion of a business cycle and discusses alternative approaches to modelling. It also discusses what lies ahead for modern business cycle theory.
Book Synopsis What Prevents a Real Business Cycle Model from Matching the U.S. Data? Decomposing the Labor Wedge by : Dmitry Plotnikov
Download or read book What Prevents a Real Business Cycle Model from Matching the U.S. Data? Decomposing the Labor Wedge written by Dmitry Plotnikov and published by International Monetary Fund. This book was released on 2017-09-08 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: I carry out a business cycle accounting exercise (Chari, Kehoe and McGrattan, 2007) on the U.S. data measured in wage units (Farmer (2010)) for the entire postwar period. In contrast to a conventional approach, this approach preserves common medium-term business cycle fluctuations in GDP, its components and the unemployment rate. Additionally, it facilitates decomposition of the labor wedge into the labor supply and the labor demand wedges. Using this business cycle accounting methodology, I find that in the transformed data, most movements in GDP are accounted for by the labor supply wedge. Therefore, I reverse a key finding of the real business cycle literature which asserts that 70% or more of economic fluctuations can be explained by TFP shocks. In other words, the real business cycle model fits the data badly because the assumption that households are on their labor supply equation is flawed. This failure is masked by data that has been filtered with a conventional approach that removes fluctuations at medium frequencies. My findings are consistent with the literature on incomplete labor markets.
Book Synopsis Business Cycles, Trend Elimination, and the HP Filter by : Peter C. B. Phillips
Download or read book Business Cycles, Trend Elimination, and the HP Filter written by Peter C. B. Phillips and published by . This book was released on 2015 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Measuring Business Cycles in Economic Time Series by : Regina Kaiser
Download or read book Measuring Business Cycles in Economic Time Series written by Regina Kaiser and published by Springer. This book was released on 2011-09-07 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book outlines and demonstrates problems with the use of the HP filter, and proposes an alternative strategy for inferring cyclical behavior from a time series featuring seasonal, trend, cyclical and noise components. The main innovation of the alternative strategy involves augmenting the series forecasts and back-casts obtained from an ARIMA model, and then applying the HP filter to the augmented series. Comparisons presented using artificial and actual data demonstrate the superiority of the alternative strategy.
Book Synopsis Do Mechanical Filters Provide Provide a Good Approximation of Business Cycles? by : Alain Guay
Download or read book Do Mechanical Filters Provide Provide a Good Approximation of Business Cycles? written by Alain Guay and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Unequal We Stand by : Jonathan Heathcote
Download or read book Unequal We Stand written by Jonathan Heathcote and published by DIANE Publishing. This book was released on 2010-10 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors conducted a systematic empirical study of cross-sectional inequality in the U.S., integrating data from various surveys. The authors follow the mapping suggested by the household budget constraint from individual wages to individual earnings, to household earnings, to disposable income, and, ultimately, to consumption and wealth. They document a continuous and sizable increase in wage inequality over the sample period. Changes in the distribution of hours worked sharpen the rise in earnings inequality before 1982, but mitigate its increase thereafter. Taxes and transfers compress the level of income inequality, especially at the bottom of the distribution, but have little effect on the overall trend. Charts and tables. This is a print-on-demand publication; it is not an original.
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