OECD Composite Leading Indicators for G7 Countries: A Comparison of the Hodrick-Prescott Filter and the Multivariate Direct Filter Approach

We estimate the business-cycles of G7 countries, as defined by an ideal 2-10 year bandpass filter applied to country-specific GDP target series (GDP-BP). Since this target series cannot be observed in real-time, due to the symmetry of the bandpass filter, we analyze and compare the leading performances of the well-known HP-filter, as currently...