蛋黄与蛋白分离:基于趋势和周期经济特性的过滤器

IF 0.4 Q4 ECONOMICS

International Journal of Computational Economics and Econometrics Pub Date : 2021-01-01 DOI:10.1504/IJCEE.2021.10033212

Pengtao Zhou

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引用次数: 1

摘要

本文提出了一种新的过滤技术，基于趋势和周期的风格化经济属性来分离趋势和周期，而不是依赖于特定的统计属性，如频率。鉴于经济增长和经济周期文献之间的理论分离，有必要使趋势和周期的度量与各自理论打算解释的内容相匹配。所提出的过滤器适用于英格兰银行收集的长期宏观经济数据(1700-2015)。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Separating yolk from white: a filter based on economic properties of trend and cycle

This paper proposes a new filter technique to separate trend and cycle based on stylised economic properties of trend and cycle, rather than relying on ad hoc statistical proper-ties such as frequency. Given the theoretical separation between economic growth and business cycle literature, it is necessary to make the measures of trend and cycle match what the respective theories intend to explain. The proposed filter is applied to the long macroeconomic data collected by the Bank of England (1700-2015).

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来源期刊

International Journal of Computational Economics and Econometrics ECONOMICS-

CiteScore

0.60

自引率

0.00%

发文量

期刊介绍： IJCEE explores the intersection of economics, econometrics and computation. It investigates the application of recent computational techniques to all branches of economic modelling, both theoretical and empirical. IJCEE aims at an international and multidisciplinary standing, promoting rigorous quantitative examination of relevant economic issues and policy analyses. The journal''s research areas include computational economic modelling, computational econometrics and statistics and simulation methods. It is an internationally competitive, peer-reviewed journal dedicated to stimulating discussion at the forefront of economic and econometric research. Topics covered include: -Computational Economics: Computational techniques applied to economic problems and policies, Agent-based modelling, Control and game theory, General equilibrium models, Optimisation methods, Economic dynamics, Software development and implementation, -Econometrics: Applied micro and macro econometrics, Monte Carlo simulation, Robustness and sensitivity analysis, Bayesian econometrics, Time series analysis and forecasting techniques, Operational research methods with applications to economics, Software development and implementation.