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1

DETRENDING BASED ON THE HODRICK-PRESCOTT FILTER

100%
Lada K.
Studia Ekonomiczne (Economic Studies)
|
2007
|
issue 1-2(52-53)
113-121
EN
In this paper the impact of Hodrick-Prescott (HP) filter on Least Squares Estimation is analyzed. It is shown that HP filter is able to produce spurious autocorrelation of error term and thus change the distribution of t-statistics. The danger consequences may accur not only when a unit root is present in the data but also when the autoregressive root is close to one. In empirical analyses it is thus preferable to use the differencing and methods in conformity with the stochastic properties of data generating process. Moreover, the paper postulates not to use HP filter when it is possible that there exists significant autocorrelation in the series.
2

BUSINESS CYCLE ANALYSIS OF THE CORE AND PERIPHERY COUNTRIES IN THE EMU

70%
Černíková P.
Ekonomický časopis (Journal of Economics)
|
2010
|
vol. 58
|
issue 5
471-491
EN
The article deals with business cycles of selected European countries for the long period of time - since 1960. The group of analysed countries is represented by the member states of the Economic and Monetary Union. The analysed group of countries contains both members sharing the single common currency euro and selected countries that decided to keep their national currency. The article examines development of business cycles during a long period of time. This will be done by the Hodrick-Prescott approach to a detrending of time series. Symmetries in business cycles are finally analysed by comparing the business cycles of the EMU member states. Then it is possible to analyse whether there is any core and periphery within the EMU according to the business cycles or not.
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