C52 - Model Evaluation, Validation, and Selection - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T11:03:10+00:00Do Mechanical Filters Provide a Good Approximation of Business Cycles?
https://www.bankofcanada.ca/1996/11/technical-report-no78/
In this paper, the authors examine how well the Hodrick-Prescott filter (HP) and the band-pass filter recently proposed by Baxter and King (BK) extract the business-cycle component of macroeconomic time series.1996-11-01T14:20:30+00:00enDo Mechanical Filters Provide a Good Approximation of Business Cycles?1996-11-01Econometric and statistical methodsTechnical Report 78https://www.bankofcanada.ca/wp-content/uploads/2010/01/tr78.pdfDo Mechanical Filters Provide a Good Approximation of Business Cycles?Alain GuayPierre St-AmantNovember 1996CC5C52EE3E32