Measuring business cycles: Approximate band-pass filters for economic timeseries

Authors
Baxter, M King, RG
Citation
M. Baxter et Rg. King, Measuring business cycles: Approximate band-pass filters for economic timeseries, REV ECON ST, 81(4), 1999, pp. 575-593
Citations number
23
Categorie Soggetti
Economics
Journal title
REVIEW OF ECONOMICS AND STATISTICS
ISSN journal
00346535 → ACNP
Volume
81
Issue
4
Year of publication
1999
Pages
575 - 593
Database
ISI
SICI code
0034-6535(199911)81:4<575:MBCABF>2.0.ZU;2-S
Abstract
Band-pass filters are useful in a wide range of economic contexts. This pap er develops a set of approximate band-pass filters and illustrates their ap plication to measuring the business-cycle component of macroeconomic activi ty. Detailed comparisons are made with several alternative filters commonly used for extracting business-cycle components.