Using Linear Filters for Detecting Cycles in Survey Data

Zuzanna Wośko ()
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Zuzanna Wośko: University of Łódź, Poland

Chapter 5 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2012, vol. 10, pp 87-106 from University of Lodz

Abstract: Z. Wośko in Chapter 5 outlines the problems connected with detecting business cycles. It was shown that selected linear filters – Hodrick-Prescott, Baxter-King and Christiano-Fitzgerald – show their weakness when applied to non-stationary time series such as diffusion indices of survey data. It was difficult to definitely recommend one of the filters based on simulations.

Keywords: Linear filters; Business cycles; Non-stationary time series; Survey data (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2012
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