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dc.contributor.authorWinker, Peteren
dc.contributor.authorMeyer, Marken
dc.date.accessioned2009-01-30T12:09:32Z-
dc.date.available2009-01-30T12:09:32Z-
dc.date.issued2004-
dc.identifier.urihttp://hdl.handle.net/10419/23936-
dc.description.abstractThe Hodrick-Prescott (HP) filter has become a widely used tool for detrending integrated time series in applied econometric analysis. Even though the theoretical time series literature sums up an extensive catalogue of severe criticism against an econometric analysis of HP filtered data, the original Hodrick and Prescott (1980, 1997) suggestion to measure the strength of association between (macro-)economic variables by a regression analysis of corresponding HP filtered time series still appears to be popular. A contradictory situation which might be justified only if HP induced distortions were quantitatively negligible in empirical applications. However, this hypothesis can hardly be maintained as the simulation results presented within this paper indicate that HP filtered series give seriously rise to spurious regression results.en
dc.language.isoengen
dc.publisher|aUniversität Erfurt, Staatswissenschaftliche Fakultät |cErfurten
dc.relation.ispartofseries|aDiscussion Paper |x2004,001Een
dc.subject.jelC15en
dc.subject.jelC22en
dc.subject.ddc330en
dc.subject.keywordHP filteren
dc.subject.keywordspurious regressionen
dc.subject.keyworddetrendingen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwTheorieen
dc.titleUsing HP Filtered Data for Econometric Analysis : Some Evidence from Monte Carlo Simulations-
dc.typeWorking Paperen
dc.identifier.ppn391308874en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:erfdps:2004001Een

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