Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/171906 
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Erscheinungsjahr: 
2017
Quellenangabe: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 5 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2017 [Pages:] 1-11
Verlag: 
MDPI, Basel
Zusammenfassung: 
Filters constructed on the basis of standard local polynomial regression (LPR) methods have been used in the literature to estimate the business cycle. We provide a frequency domain interpretation of the contrast filter obtained by the difference of a series and its long-run LPR component and show that it operates as a kind of high-pass filter, so that it provides a noisy estimate of the cycle. We alternatively propose band-pass local polynomial regression methods aimed at isolating the cyclical component. Results are compared to standard high-pass and band-pass filters. Procedures are illustrated using the US GDP series.
Schlagwörter: 
business cycles
local polynomial regression
filtering
high-pass
band-pass
US cycles
JEL: 
C13
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