| Author: | Smith, G. |
| Title: | Method-of-moments measurement of UK business cycles |
| Journal: | Oxford Economic Papers
1996 : OCT, VOL. 48:4, p. 568-583 |
| Index terms: | ECONOMICS UNITED KINGDOM BUSINESS CYCLES |
| Language: | eng |
| Abstract: | This paper illustrates measuring the UK business cycle (detrending) by extracting the component of aggregate output which has which most closely match those from business-cycle models. A member of a parametric family of detrending filters (which includes linear detrending and first differencing as special cases) is selected by the generalized method of moments. Illustrations use moments from (i) a fully calibrated , real business cycle model and (ii) business-cycle indicators. Measured cycles are compared to those resulting from HP filtering and to the CSO's reference cycle. |
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