Efectos de las técnicas de filtrado en la evaluación de un modelo de ciclos económicos reales

Lecturas de Economía

关键词: Basic Neoclassical Growth Model;    Detrending Methods;    Statistical Tests;    Frequency domain Analysis.;   

DOI  :  

来源: DOAJ

【 摘 要 】

This work uses the Hodrick and Prescott filter (HP), the Band-Pass filter (BP), and atheoretical decomposition (TD), to show how the cyclical regularities characterized by the modelof exogenous growth of King, Plosser and Rebelo (1988) depend on the filter technique used.This article exhibits statistically significant differences between properties of the cyclicalcomponents isolated with the HP, BP and TD filters; in particular between the HP and BP filters,which differs from the results of Canova (1998). It also shows that the TD filter technique is notconsistent with the definition of economic cycle given by the National Bureau of EconomicResearch (NBER).

【 授权许可】

Unknown