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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
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