Real-Time vs. Full-Sample Performance of One-Sided and Two-Sided HP Filters. An Application to 27 EU Member States' GDP Data

• Autorzy: Kaloyan Ganev
• Języki publikacji: EN

Abstrakty

EN

The paper makes a comparison of the results of the application of two-sided and one-sided versions of the Hodrick-Prescott filter on GDP data concerning 27 EU Member States. Based on the results, the overall finding is that, contrary to its assumed advantages, the one-sided filter does not help overcome endpoint unbiasedness. Quite the opposite, it rather spreads and consolidates the endpoint bias that plagues the two-sided version over the entire filtered data. In addition, regression-based results on the influence of the second, third, and fourth moments of the GDP acceleration rates on the differences between onesided and two-sided HP trends are presented. (original abstract)

Słowa kluczowe

PL

Teoria realnego cyklu koniunkturalnego; Strefa euro; Makroekonomia; Produkt krajowy brutto (PKB)

EN

Real business cycle theory; Eurozone; Macroeconomics; Gross domestic product (GDP)

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2020
• Tom: 12
• Numer: nr 3
• Strony: 251-272

Twórcy

autor

Kaloyan Ganev

• Sofia University "St. Kliment Ohridski"

Bibliografia

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• [3] Harvey A. C., Jaeger A., (1993), Detrending, Stylized Facts, and the Business Cycle, Journal of Applied Econometrics 8(3), 231-247.
• [4] Hodrick R. J., Prescott E. C., (1997-[1980]), Postwar U.S. Business Cycles: An Empirical Investigation, Journal of Money, Credit and Banking 29(1), 1-16.
• [5] Manning W. G., Mullahy J., (2001), Estimating Log Models: To Transform or Not to Transform? Journal of Health Economics 20, 461-494.
• [6] Mehra Y. P., (2004), The Output Gap, Expected Future Inflation and Inflation Dynamics: Another Look, Topics in Macroeconomics 4(1),
• [7] Ravn M. O., Uhlig H., (2002), On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations, The Review of Economics and Statistics 84(2), 371-376.
• [8] Stock J. H., Watson M. W., (1999), Forecasting Inflation, Journal of Monetary Economics 44, 293-335.
• [9] Thadewald T., Büning H., (2007), Jarque-Bera Test and its Competitors for Testing Normality - A Power Comparison, Journal of Applied Statistics 34(1), 87-105.

Identyfikatory

DOI

DOI: 10.24425/cejeme.2020.134748