基于Hodrick-Prescott滤波器和OECD综合领先指标体系的带通滤波器注释

Oecd Journal: Journal of Business Cycle Measurement and Analysis Pub Date : 2012-01-05 DOI:10.1787/JBCMA-2011-5KG0PB01SBBT

H. Yamada

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引用次数: 55

摘要

经济合作与发展组织(OECD)在2008年12月开始使用基于Hodrick-Prescott滤波器(HPband-pass滤波器)的带通滤波器来计算综合领先指标(CLIs)。除了经合组织采用的过滤器外，还有一种替代的HPband-pass过滤器。本文探讨了在OECD的cli计算中应用这两种可选的HPband-pass滤波器是否会导致可忽略不计的差异。JEL分类:E32;关键词:Hodrick-Prescott带通滤波器;综合领先指标。©beawolf - Fotolia.com

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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 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

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Oecd Journal: Journal of Business Cycle Measurement and Analysis

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