A Note on Band-Pass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators:
The Organisation for Economic Co-operation and Development (OECD) began to use a band-pass filter, based on the Hodrick-Prescott filter (HPband-pass filter), to calculate the composite leading indicators (CLIs) in December2008. Other than the filter adopted by the OECD, there is an alternative HPban...
Gespeichert in:
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| Format: | Elektronisch Buchkapitel |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2012
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| Schlagworte: | |
| Online-Zugang: | DE-384 DE-473 DE-824 DE-29 DE-739 DE-355 DE-20 DE-1028 DE-1049 DE-521 DE-861 DE-898 DE-92 DE-91 DE-573 DE-19 URL des Erstveröffentlichers |
| Zusammenfassung: | The Organisation for Economic Co-operation and Development (OECD) began to use a band-pass filter, based on the Hodrick-Prescott filter (HPband-pass filter), to calculate the composite leading indicators (CLIs) in December2008. Other than the filter adopted by the OECD, there is an alternative HPband-pass filter. This note examines whether the application of these two alternative HPband-pass filters in the calculations of the OECD's CLIs lead to negligible differences. JEL Classification: E32; C22 Keywords: Hodrick-Prescott band-pass filter; Composite leading indicators.© beawolf - Fotolia.com |
| Beschreibung: | 1 Online-Ressource (5 Seiten) 21 x 28cm |
| DOI: | 10.1787/jbcma-2011-5kg0pb01sbbt |
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| spelling | Yamada, Hiroshi Verfasser aut A Note on Band-Pass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators Hiroshi Yamada Paris OECD Publishing 2012 1 Online-Ressource (5 Seiten) 21 x 28cm txt rdacontent c rdamedia cr rdacarrier The Organisation for Economic Co-operation and Development (OECD) began to use a band-pass filter, based on the Hodrick-Prescott filter (HPband-pass filter), to calculate the composite leading indicators (CLIs) in December2008. Other than the filter adopted by the OECD, there is an alternative HPband-pass filter. This note examines whether the application of these two alternative HPband-pass filters in the calculations of the OECD's CLIs lead to negligible differences. JEL Classification: E32; C22 Keywords: Hodrick-Prescott band-pass filter; Composite leading indicators.© beawolf - Fotolia.com Economics https://doi.org/10.1787/jbcma-2011-5kg0pb01sbbt Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Yamada, Hiroshi A Note on Band-Pass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators Economics |
| title | A Note on Band-Pass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators |
| title_auth | A Note on Band-Pass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators |
| title_exact_search | A Note on Band-Pass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators |
| title_exact_search_txtP | A Note on Band-Pass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators |
| title_full | A Note on Band-Pass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators Hiroshi Yamada |
| title_fullStr | A Note on Band-Pass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators Hiroshi Yamada |
| title_full_unstemmed | A Note on Band-Pass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators Hiroshi Yamada |
| title_short | A Note on Band-Pass Filters Based on the Hodrick-Prescott Filter and the OECD System of Composite Leading Indicators |
| title_sort | a note on band pass filters based on the hodrick prescott filter and the oecd system of composite leading indicators |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/jbcma-2011-5kg0pb01sbbt |
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