Filtres usuels et filtre fondé sur les ondelettes: étude comparative et application au cycle économique

Ibrahim Ahamada and Philippe Jolivaldt

Economie & Prévision, 2010, vol. n° 195-196, issue 4, 149-161

Abstract: We compare the performance of Hodrick-Prescott and Baxter-King filters with a filtering method based on the multi-resolution properties of wavelets. We show that the three methods remain broadly comparable if the theoretical cyclical component is defined in the usual waveband, ranging between six and thirty-two quarters. However the wavelet-based approach provides additional information on the business cycle, such as its time stability. We apply our method ? which is based on Monte Carlo simulation experiments ? to U. S. GDP. We find that the estimate of the business-cycle component using growth-rate data is superior to the estimate using the GDP level ; it also provides fuller information on the ?Great Moderation? period that began in the mid-1980s.

Keywords: Hodrick-Prescott filter; Baxter-King filter; wavelets; Monte Carlo simulation; break; business cycles (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.cairn.info/load_pdf.php?ID_ARTICLE=ECOP_195_0149 (application/pdf)
http://www.cairn.info/revue-economie-et-prevision-1-2010-4-page-149.htm (text/html)
free

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cai:ecoldc:ecop_195_0149

Access Statistics for this article

More articles in Economie & Prévision from La Documentation Française
Bibliographic data for series maintained by Jean-Baptiste de Vathaire ().