- Tytuł:
- Real-Time vs. Full-Sample Performance of One-Sided and Two-Sided HP Filters. An Application to 27 EU Member States GDP Data
- Autorzy:
- Ganev, Kaloyan
- Powiązania:
- https://bibliotekanauki.pl/articles/2075476.pdf
- Data publikacji:
- 2020
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
One-sided and two-sided Hodrick-Prescott filters
endpoint bias - Opis:
- 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 one- sided and two-sided HP trends are presented.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2020, 3; 251-272
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł