Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/23936
Full metadata record
DC FieldValueLanguage
dc.contributor.authorWinker, Peteren_US
dc.contributor.authorMeyer, Marken_US
dc.date.accessioned2009-01-30T12:09:32Z-
dc.date.available2009-01-30T12:09:32Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/23936-
dc.description.abstractThe Hodrick-Prescott (HP) filter has become a widely used tool for detrendingintegrated time series in applied econometric analysis. Even though thetheoretical time series literature sums up an extensive catalogue of severecriticism against an econometric analysis of HP filtered data, the originalHodrick and Prescott (1980, 1997) suggestion to measure the strength ofassociation between (macro-)economic variables by a regression analysis ofcorresponding HP filtered time series still appears to be popular. A contradictorysituation which might be justified only if HP induced distortionswere quantitatively negligible in empirical applications. However, this hypothesiscan hardly be maintained as the simulation results presented withinthis paper indicate that HP filtered series give seriously rise to spurious regressionresults.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseries|aDiscussion paper / Universität Erfurt, Staatswissenschaftliche Fakultät |x2004,001Een_US
dc.subject.jelC15en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.keywordHP filteren_US
dc.subject.keywordspurious regressionen_US
dc.subject.keyworddetrendingen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwTheorieen_US
dc.titleUsing HP Filtered Data for Econometric Analysis : Some Evidence from Monte Carlo Simulationsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn391308874en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:erfdps:2004001E-

Files in This Item:
File
Size
398.68 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.