Method-of-Moments Measurement of UK Business Cycles

Gregor Smith

Oxford Economic Papers, 1996, vol. 48, issue 4, 568-83

Abstract: This paper illustrates measuring the U.K. business cycle (detrending) by extracting the component of aggregate output that has moments which most closely match those from business-cycle models. A member of a parametric family of detrending filters (which includes linear detrending and first differencing as special cases) is selected by the generalized method of moments. Illustrations use moments from (1) a fully calibrated, real business cycle model and (2) business-cycle indicators. Measured cycles are compared to those resulting from Hodrick-Prescott filtering and to the Central Statistical Office's reference cycle. Copyright 1996 by Royal Economic Society.

Date: 1996
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