Effects of the Hodrick-Prescott filter on trend and difference stationary time series; implications for business cycle research

Article Abstract:

The Hodrick-Prescott (HP) filter is capable of producing business cycle dynamics when applied to persistent time series. Business cycles in HP filtered data does not necessarily mean the existence of business cycles in the original data. It is shown that standard real business cycle models do not produce business cycle dynamics in pre-filtered data. Implications of the result can be applied to studies which draw facts about the business cycle and in real business cycle simulations.

Models, Time-series analysis, Time series analysis

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Estimating and testing rational expectations models when the trend specification is uncertain

Article Abstract:

This paper studies two approaches for estimating and testing rational expectations models where trend specification is uncertain. One applies a filter to the approximating model and its data, while the other applies also a filtering operation but which is treated with seasonality.

Estimation theory, Rational expectations (Economics), Parameter estimation

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Alternative definitions of the business cycle and their implications for business cycle models: A reply to Torben Mark Pederson

Article Abstract:

Timothy Cogley's article provides a clarification and definition of a business cyle beyond that assumed by Torben Mark Pederson.

Business, Analysis, Criticism and interpretation, Terminology, Pederson, Torben Mark

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