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Do Mechanical Filters Provide a Good Approximation of Business Cycles?

Alain Guay () and Pierre St-Amant ()

Technical Reports from Bank of Canada

Abstract: In this paper, the authors examine how weel the Hodrick-Prescott filter (HP) and the band-pass filter recently proposed by Baxter and King (BK) extract the business-cycle component of macroeconomic time series.

Keywords: BUSINESS; CYCLES (search for similar items in EconPapers)
JEL-codes: E32 C22 (search for similar items in EconPapers)
Date: 1996
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Related works:
Working Paper: Do Mechanical Filters Provide a Good Approximation of Business Cycles? (1996)
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