The application of the Hodrick-Prescott (HP) and other linear filters to remove trend and extract business cycles in macroeconomic time series is a common practice despite its limitations, namely, in signaling recessions. Median filters and other nonlinear techniques can perform better by accommodating sharp but fundamental changes in the growth trend and passing only the relevant information to the cycle component. An application to the Portuguese relevant macroeconomic series confirmed the robustness of nonlinear filters in signaling the recessions and recoveries. In particular, the Mosheiov-Raveh (MR) filter estimates piecewise trend growth paths that naturally date the specific periods of the Portuguese economy since 1977.
Idioma originalEnglish
Número de páginas24
Estado da publicaçãoPublicado - 20 mar 2017

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