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

Cogley, Timothy; Nason, James M.

doi:10.1016/0165-1889(93)00781-x

Cited by 664 publications

(363 citation statements)

References 13 publications

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“…Kydland and Prescott (1982) choose it because it focuses on fluctuations at cyclical frequencies. This technique, however, has been criticized by several researchers (King and Rebelo, 1993;Cogley and Nason, 1995;Harvey and Jaeger, 1993;Gregory and Smith, 1995), because mechanical detrending based on the HP filter could lead investigators to report spurious cyclical behavior. The last two methods I use-the segmented linear method and the PAT technique-have not been widely used in the business-cycle literature.…”

Section: Trend-cycle Decompositionmentioning

confidence: 99%

Are Prices Countercyclical? Evidence From East Asian Countries

Kim¹

1998

ICPSR Data Holdings

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Section: Trend-cycle Decompositionmentioning

confidence: 99%

Are Prices Countercyclical? Evidence From East Asian Countries

Kim¹

1998

ICPSR Data Holdings

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“…To do so, a filter technique was necessary to obtain the short-term cyclical components and long-term trends in the time series of both climate change and the economic cycle. The Hodrick-Prescott (HP) filter (Hodrick and Prescott 1997) has been widely used in business-cycle research despite having several shortcomings (Cogley and Nason 1995). The smoothing level depends on the smoothing parameter k. For larger values of k, the solution series becomes smoother (Hodrick and Prescott 1997).…”

Section: Statisticsmentioning

confidence: 99%

A preliminary analysis of economic fluctuations and climate changes in China from BC 220 to AD 1910

Wei

Fang

2014

Reg Environ Change

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Understanding the socioeconomic effects of past climate change is valuable for sustainable social development. However, quantitative analyses of the longterm relationships between climate change and human society have been limited by a lack of long-term highresolution data that indicate socioeconomic processes. Here, based on 1,091 records extracted from 25 books on Chinese history and economic history written by leading contemporary scholars, an economic proxy series for China with decadal resolution is presented that encompasses the period from BC 220 to AD 1910. A method for semantic differential and integrating descriptions with multi-time resolution is developed. The statistical results show that warm and wet periods were associated with above-average economic performance, while cold and dry climatic scenarios greatly increased the possibility of economic crisis. Temperature was more influential than precipitation in explaining the long-term economic fluctuations, whereas precipitation displayed more significant effects on the short-term macro-economic cycle. It is proposed that the climatic effects on agrarian economic development were highly dependent on the social vulnerability, which is determined by particular social, economic and political backgrounds. From a deep time perspective, our study may provide new insight into the current intense arguments regarding the economic effects of global warming.

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“…The most common approaches in the literature include linear trends (Nelson and Plosser (1982)), broken trends (Perron (1989(Perron ( , 1997), polynomial trends ), the Hodrick-Prescott filter (Hodrick and Prescott (1997), Cogley and Nason (1995)), and smooth transition trend models (Leybourne, et. al.…”

Section: Unit Roots and Structural Breaks In Money And Outputmentioning

confidence: 99%

International evidence on stochastic and deterministic monetary neutrality

2008

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractWe analyze the issue of the impact of multiple breaks on monetary neutrality results, using a long annual international data set. We empirically verify whether neutrality propositions remain addressable (and if so, whether they hold or not), when unit root tests are carried out allowing for multiple structural breaks in the long-run trend function of the variables. It is found that conclusions on neutrality are sensitive to the number and location of breaks. In order to interpret the evidence for structural breaks, we introduce a notion of deterministic monetary neutrality, which naturally arises in the absence of permanent stochastic shocks to the variables. Keywords: Deterministic and Stochastic Neutrality and Superneutrality of Money, Unit Roots, Structural Breaks, Resampling Methods. JEL Classification: C15, C32, E51, E52Resumen Este artículo analiza el impacto de cambios estructurales múltiples sobre resultados de neutralidad monetaria, utilizando una base de datos internacional. Investigamos empírica-mente si las proposiciones de neutralidad pueden ser verificables (y si lo son, si se mantienen o no), cuando las pruebas de raíz unitaria se aplican permitiendo cambios estructurales múltiples en la función de tendencia de largo plazo de las variables. Encontramos que las conclusiones sobre neutralidad son sensibles al número de cambios y a su localización en la muestra. Para interpretar la evidencia de cambios estructurales, introducimos una noción de neutralidad monetaria determinística, que surge naturalmente en ausencia de choques estocásticos permanentes en las variables. Palabras Clave: Neutralidad y súper neutralidad monetaria determinística y estocástica, Raíces unitarias, Cambios estructurales, Métodos de remuestreo.* With thanks to

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

Cited by 664 publications

References 13 publications

Are Prices Countercyclical? Evidence From East Asian Countries

Are Prices Countercyclical? Evidence From East Asian Countries

A preliminary analysis of economic fluctuations and climate changes in China from BC 220 to AD 1910

International evidence on stochastic and deterministic monetary neutrality

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