An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data
收藏NBER2020-02-01 更新2025-01-04 收录
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https://www.nber.org/papers/w26750
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资源简介：
This paper uses simulations to explore the properties of the HP filter of Hodrick and Prescott (1997), the BK filter of Baxter and King (1999), and the H filter of Hamilton (2018) that are designed to decompose a univariate time series into trend and cyclical components. Each simulated time series
提供机构：
美国国家经济研究局
创建时间：
2020-02-01
