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
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: E32 C22 (search for similar items in EconPapers)
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Working Paper: Do Mechanical Filters Provide a Good Approximation of Business Cycles? (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:fca:wpfnca:1996-2
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