کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10478279 | 930936 | 2005 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On suboptimality of the Hodrick-Prescott filter at time series endpoints
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
The Hodrick-Prescott filter is often applied to economic series as part of the study of business cycles. Its properties have most frequently been explored through the development of essentially asymptotic results which are practically relevant only some distance from series endpoints. Our concern here is with the most recent observations, as policy-makers will often require an assessment of whether, and by how much, an economic variable is “above trend”. We show that if such an issue is important, an easily implemented adjustment to the filter is desirable.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Macroeconomics - Volume 27, Issue 1, March 2005, Pages 53-67
Journal: Journal of Macroeconomics - Volume 27, Issue 1, March 2005, Pages 53-67
نویسندگان
Emi Mise, Tae-Hwan Kim, Paul Newbold,