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Improving the Reliability of Real-Time Hodrick-Prescott Filtering Using Survey Forecasts

https://doi.org/10.2139/ssrn.2466271
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Detrending, stylized facts and the business cycle
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Can inflation data improve the real‐time reliability of output gap estimates?
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Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research
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Theory ahead of business-cycle measurement
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Temporal aggregation, systematic sampling, and the Hodrick–Prescott filter
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The reliability of real-time estimates of the euro area output gap
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The accuracy and efficiency of the Consensus Forecasts: A further application and extension of the pooled approach
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On suboptimality of the Hodrick–Prescott filter at time series endpoints
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Forecasting with a real-time data set for macroeconomists
inferredcites →https://doi.org/10.1016/s0165-1765(98)00190-6openalex-extracted
Distortionary effects of the optimal Hodrick–Prescott filter
inferredcites →https://doi.org/10.1016/s0165-1889(06)80010-2openalex-extracted
Low frequency filtering and real business cycles
inferredcites →https://doi.org/10.1016/s0165-1889(99)00059-7openalex-extracted
The Hodrick–Prescott filter, the Slutzky effect, and the distortionary effect of filters
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Detrending and business cycle facts
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A real-time data set for macroeconomists
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How useful are the forecasts of intergovernmental agencies? The IMF and OECD versus the consensus
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Three Equivalent Methods for Filtering Finite Nonstationary Time Series
inferredcites →https://doi.org/10.1080/07350015.2012.707588openalex-extracted
Improving Real-Time Estimates of Output and Inflation Gaps With Multiple-Vintage Models
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On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates
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Exponential smoothing and spurious correlation: a note
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The Information Content of Capacity Utilization Rates for Output Gap Estimates
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A Multivariate Band-Pass Filter for Economic Time Series
inferredcites →https://doi.org/10.1162/003465302317411604openalex-extracted
On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations
inferredcites →https://doi.org/10.1162/003465302760556422openalex-extracted
The Unreliability of Output-Gap Estimates in Real Time
inferredcites →https://doi.org/10.1162/003465303765299774openalex-extracted
General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series
inferredcites →https://doi.org/10.1162/rest.90.4.792openalex-extracted
Real-Time Representations of the Output Gap
inferredcites →https://doi.org/10.1162/rest_a_00045openalex-extracted
New Eurocoin: Tracking Economic Growth in Real Time
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Expectations and Economic Fluctuations: An Analysis Using Survey Data
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The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series
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Tracking the Business Cycle of the Euro Area
inferredcites →https://doi.org/10.1198/jbes.2009.07205openalex-extracted
Real-Time Measurement of Business Conditions
inferredcites →https://doi.org/10.1257/jel.49.1.72openalex-extracted
Frontiers of Real-Time Data Analysis
inferredcites →https://doi.org/10.2139/ssrn.1023543openalex-extracted
The Accuracy and Efficiency of the Consensus Forecasts: A Further Application and Extension of the Pooled Approach
inferredcites →https://doi.org/10.2139/ssrn.687782openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.905289openalex-extracted
On the Model Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates
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Postwar U.S. Business Cycles: An Empirical Investigation
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Seasonal Adjustment by Signal Extraction
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A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
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The Band Pass Filter
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