Cycle Extraction: A Comparison of the Phase-Average Trend Method, the Hodrick-Prescott and Christiano-Fitzgerald Filters
This paper reports on revision properties of different de-trending and smoothing methods (cycle estimation methods), including PAT with MCD smoothing, a double Hodrick-Prescott (HP) filter and the Christiano-Fitzgerald (CF) filter. The different cycle estimation methods are rated on their revision p...
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| Formato: | Capítulo de libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Paris :
OECD Publishing
2011.
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| Colección: | OECD Statistics Working Papers,
no.2011/04. |
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| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009706093206719 |
