BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER

Phillips, Peter CB; Jin, Sainan

dc.contributor.author	Phillips, Peter CB
dc.contributor.author	Jin, Sainan
dc.date.accessioned	2022-01-10T00:37:41Z
dc.date.available	2022-01-10T00:37:41Z
dc.date.issued	2021-1-15
dc.identifier.citation	International Economic Review 62(2):469-520 15 Jan 2021
dc.identifier.issn	0020-6598
dc.identifier.uri	https://hdl.handle.net/2292/57902
dc.description.abstract	Trend elimination and business cycle estimation are analyzed by finite sample and asymptotic methods. An overview history is provided, operator theory is developed, limit theory as the sample size (Formula presented.) is derived, and filtered series properties are studied relative to smoothing parameter ((Formula presented.)) behavior. Simulations reveal that limit theory with (Formula presented.) delivers excellent approximations to the HP filter for common sample sizes but fails to remove stochastic trends, contrary to standard thinking in macroeconomics and thereby explaining “spurious cycle” effects of the HP filter. The findings are related to the long run effects of the global financial crisis.
dc.language	en
dc.publisher	Wiley
dc.relation.ispartofseries	International Economic Review
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dc.rights	This is the peer reviewed version of the following article: International Economic Review 62(2):469-520 15 Jan 2021], which has been published in final form at http://doi.org/10.1111/iere.12494 This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. This article may not be enhanced, enriched or otherwise transformed into a derivative work, without express permission from Wiley or by statutory rights under applicable legislation. Copyright notices must not be removed, obscured or modified. The article must be linked to Wiley’s version of record on Wiley Online Library and any embedding, framing or otherwise making available the article or pages thereof by third parties from platforms, services and websites other than Wiley Online Library must be prohibited.
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dc.rights.uri	https://authorservices.wiley.com/author-resources/Journal-Authors/licensing/self-archiving.html
dc.subject	Social Sciences
dc.subject	Economics
dc.subject	Business & Economics
dc.subject	14 Economics
dc.title	BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER
dc.type	Journal Article
dc.identifier.doi	10.1111/iere.12494
pubs.issue	2
pubs.begin-page	469
pubs.volume	62
dc.date.updated	2021-12-03T05:39:29Z
dc.rights.holder	Copyright: Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association	en
pubs.author-url	http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000607614400001&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=6e41486220adb198d0efde5a3b153e7d
pubs.end-page	520
pubs.publication-status	Published
dc.rights.accessrights	http://purl.org/eprint/accessRights/OpenAccess	en
pubs.subtype	Article
pubs.subtype	Journal
pubs.elements-id	836579
dc.identifier.eissn	1468-2354
pubs.online-publication-date	2021-1-15