Cycle Extraction: A Comparison of the Phase‑Average Trend Method, the Hodrick‑Prescott and Christiano‑Fitzgerald Filters
收藏Organisation for Economic Co-operation and Development2026-04-11 收录
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This paper reports on revision properties of different de-trending and smoothing methods (cycle estimation methods), including PAT with MCD smoothing, a double Hodrick-Prescott (HP) filter and the Christiano-Fitzgerald (CF) filter. The different cycle estimation methods are rated on their revision performance in a simulated real time experiment....
