Comparing real-time uncertainty of the Hodrick-Prescott and Hamilton trend/cycle decompositions
Bibliographic Data
| ID | 21541797 |
|---|---|
| Authors | KRISTIAN JÖNSSON (0000-0003-1193-2447, Swedish National Bank, corresponding author) |
| Year | 2025 |
| Volume | 69 |
| Issue | 3 |
| Pages | 1335-1361 |
| Publication date | 2025-09-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Empirical Economics (JOURNAL) |
| Journal identifiers | ISSN: 0377-7332 • E-ISSN: 1435-8921 |
| Publisher | Springer Science and Business Media LLC (PUBLISHER) |
| DOI | 10.1007/s00181-025-02765-6 |
| OpenAlex | W4410807296 |
| Language | EN |
| References cited | 34 |
Business cycle · Econometrics · Economics · Hodrick–Prescott filter · Keynesian economics · Financial Risk and Volatility Modeling · Mathematics · Monetary Policy and Economic Impact · Statistical and numerical algorithms
The Band Pass Filter
Postwar U.S. Business Cycles
Detrending, stylized facts and the business cycle
The boosted Hodrick‐Prescott filter is more general than you might think
Norges Bank Output Gap Estimates
The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series
Reliable Real-Time Output Gap Estimates Based on a Modified Hamilton Filter
The Unreliability of Output-Gap Estimates in Real Time
Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter
Why You Should Never Use the Hodrick-Prescott Filter
The Explicit Formula for the Hodrick-Prescott Filter in a Finite Sample
General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series
Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different
| Highly cited | No |
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