English, Article, Journal or magazine article edition: Stylized Facts Test for the Signal-Extraction Techniques Konstantin A. Kholodilin

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/178575
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Stylized Facts Test for the Signal-Extraction Techniques
Author
  • Konstantin A. Kholodilin
Physical Description
  • preprint
Notes
  • One of the important tools of the business cycle research are the signal-extraction techniques (SETs). They allow to study both the stylized facts and the turning points of the business cycles. However, these are highly sensitive to the SETs. In this paper we try to see how some of the SETs affect the stylized facts and to compare the performance of several detrending techniques in terms of the distortions they introduce into the first four moments of the extracted business cycles. To accomplish this, the Monte Carlo experiments for various DGPs, including deterministic and stochastic, common and individual trend specifications of the observed time series, were undertaken. The results allow to rank different SETs according to their performance and to reveal the sources of distortions. Finally, we try to improve upon performance of the SETs by constructing mixed, mutlivariate and mixed multivariate filters using univariate detrending techniques as building blocks. It turns out that linear combination of the filters behaves better than the best of SETs of which it is comprised. Multivariate filtering also leads to improvements of the SETs performance.
  • business cycle;signal-extraction technique;stylized facts;Hodrick-Prescott filter;Bandpass filter;Caterpillar filter
  • RePEc:ctl:louvir:2002017
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment