Business Cycle Estimation with High-Pass and Band-Pass Local Polynomial Regression
Filters constructed on the basis of standard local polynomial regression (LPR) methods have been used in the literature to estimate the business cycle. We provide a frequency domain interpretation of the contrast filter obtained by the difference of a series and its long-run LPR component and show t...
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| Format: | Article |
| Language: | English |
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MDPI AG
2017-01-01
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| Series: | Econometrics |
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| Online Access: | http://www.mdpi.com/2225-1146/5/1/1 |