کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5053944 | 1476523 | 2015 | 6 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Locating change-points in Hodrick-Prescott trends with an application to US real GDP: A generalized unobserved components model approach
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Locating change-points in Hodrick-Prescott trends with an application to US real GDP: A generalized unobserved components model approach Locating change-points in Hodrick-Prescott trends with an application to US real GDP: A generalized unobserved components model approach](/preview/png/5053944.png)
چکیده انگلیسی
The trends estimated by the Hodrick-Prescott (HP) filter are smooth by design and it is not easy to pinpoint their change-points. In this study, we locate their change-points by formulating the HP filter as a generalized unobserved components model with error terms of mixtures of normal distributions. We apply the method to US real GDP for the 1947:1-2013:3 period and find that a sequence of mostly negative shocks, rather than a few extraordinary large ones, are responsible for the changes in the US real GDP trend.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 45, February 2015, Pages 136-141
Journal: Economic Modelling - Volume 45, February 2015, Pages 136-141
نویسندگان
Gawon Yoon,