Journal ArticleDOI
The band pass filter
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In this paper, the authors developed optimal finite-sample approximations for the band pass filter, based on the generally false assumption that the data are generated by a random walk.Abstract:
We develop optimal finite-sample approximations for the band pass filter. These approximations include one-sided filters that can be used in real time. Optimal approximations depend upon the details of the time series representation that generates the data. Fortunately, for U.S. macroeconomic data, getting the details exactly right is not crucial. A simple approach, based on the generally false assumption that the data are generated by a random walk, is nearly optimal. We use the tools discussed here to document a new fact: There has been a significant shift in the money–inflation relationship before and after 1960.read more
Citations
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Time Series Analysis
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The Dynamic Effects of Neutral and Investment‐Specific Technology Shocks
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References
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Journal ArticleDOI
Postwar U.S. Business Cycles: An Empirical Investigation
TL;DR: In this article, a procedure for representing a times series as the sum of a smoothly varying trend component and a cyclical component is proposed, and the nature of the comovements of the cyclical components of a variety of macroeconomic time series is documented.
Journal ArticleDOI
Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series
Marianne Baxter,Robert G. King +1 more
TL;DR: The authors developed a set of approximate band-pass filters and illustrates their application to measuring the business-cycle component of macroeconomic activity, and compared them with several alternative filters commonly used for extracting business cycle components.
Journal ArticleDOI
On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations
Morten O. Ravn,Harald Uhlig +1 more
TL;DR: In this paper, the Hodrick-Prescott filter parameter was adjusted by multiplying it with the fourth power of the observation frequency ratios, which yields an HP parameter value of 6.25.
Journal ArticleDOI
Theory ahead of business-cycle measurement
TL;DR: In this article, the authors reviewed recent developments in business cycle theory and found that the growth model, which was developed to account for the secular patterns in important economic aggregates, displays the business cycle phenomena once it incorporates the observed randomness in the rate of technological advance.
Posted Content
International Evidence on the Historical Properties of Business Cycles
David Backus,Patrick J. Kehoe +1 more
TL;DR: In this article, the authors compare properties of real quantities with those of price levels and stocks of money for ten countries over the last century and find that real quantities have remarkably uniform relations among real quantities.
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