Business cycles, trend elimination, and the HP filter

• المؤلفون الرئيسيون: PHILLIPS, Peter C. B., JIN, Sainan
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2021
• الموضوعات: Detrending; Graduation; Hodrick Prescott filter; Integrated process; Limit theory; Smoothing; Trend break; Whittaker filter; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/2423; https://ink.library.smu.edu.sg/context/soe_research/article/3422/viewcontent/BusinessCycles_HPfilter_av.pdf

Trend elimination and business cycle estimation are analyzed by finite sample and asymptotic methods. An overview history is provided, operator theory is developed, limit theory as the sample size n → ∞ is derived, and filtered series properties are studied relative to smoothing parameter (λ) behavi...