A Note on Band-Pass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators

Hiroshi Yamada (yamada@hiroshima-u.ac.jp)

OECD Journal: Journal of Business Cycle Measurement and Analysis, 2012, vol. 2011, issue 2, 105-109

Abstract: The Organisation for Economic Co-operation and Development (OECD) began to use a band-pass filter, based on the Hodrick-Prescott filter (HPband-pass filter), to calculate the composite leading indicators (CLIs) in December2008. Other than the filter adopted by the OECD, there is an alternative HPband-pass filter. This note examines whether the application of these two alternative HPband-pass filters in the calculations of the OECD’s CLIs lead to negligible differences. JEL Classification: E32; C22 Keywords: Hodrick-Prescott band-pass filter; Composite leading indicators.© beawolf - Fotolia.com

Date: 2012
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