Do Mechanical Filters Provide a Good Approximation of Business Cycles?

Alain Guay and Pierre St-Amant ()

Working Papers-Department of Finance Canada from Department of Finance Canada

Abstract: In this paper, the authors examine how well the Hodrick-Prescott filter (HP) and the band-pass filter (BK) recently proposed by Baxter and King (1995) extract bysiness cycle frequencies for the level of macroeconomic time series.

Keywords: BUSINESS CYCLES; STATISTICS (search for similar items in EconPapers)
JEL-codes: C22 E32 (search for similar items in EconPapers)
Pages: 31 pages
Date: 1996
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Citations: View citations in EconPapers (44)

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Working Paper: Do Mechanical Filters Provide a Good Approximation of Business Cycles? (1996)
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