The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series
By Víctor Gómez. 2001
183 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/9c7bbf82fbc115a044496f0cc4d3dded13f466c7
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Michael J. Artis
- Alessandra Iacobucci
- Alain Noullez
- Andrew S. Harvey
- T. Trimbur
- Massimiliano Marcellino
- Tommaso Proietti
- Stephen P. Boyd
In Management Science and Operations Research
- Seung-Jean Kim
- Kwangmoo Koh
- Tommaso Proietti
- Dimitry M. Gorinevsky
- Andrew S. Harvey
- T. Trimbur
- Stephen P. Boyd
- Massimiliano Marcellino
Citations in the corpus
- 1 Trend Filtering (2009, background): “Suppose that the time series data y has autoregressive (AR) components in addition to the trend x and the irregular component z: yt = xt + a1yt−1 + · · ·+ aryt−r + zt, where ai are model coefficients.”
- General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series (2003, methodology): “These specifications are frequently used in structural time series models; see Harvey (1989), Young (1984), or Kitagawa and Gersch (1996).”
- TREND ESTIMATION AND THE HODRICK-PRESCOTT FILTER (2008, background): “93 years; see Gomez (2001). Hence, q(λ0.5) = q(0.1583) = 1/1600. The gain for the HP detrending filter is 1 − w(λ). It is sometimes argued that the rationale for the HP (1600) filter is that it tends to cut out frequencies corresponding to periods above 9.”
- Dating the Euro Area Business Cycle (2003, background): “In this case, the chronology of turning points, not surprisingly, is also exactly as in Harding and Pagan (2001). It should also be noticed that the two quarters recession in 1982 is a minor event and could be censored if the dating algorithm were tailored to impose ties on the depth of recessions a”
- A Frequency Selective Filter for Short-Length Time Series (2005, methodology): “By means of the formula (17), or (18), which allows the tuning of the cutoff frequency, a Hodrick-Prescott bandpass filter can be obtained as the difference between two highpass filters with different appropriate λ values, as shown in [5] and [7] for Butterworth filters.”