Time-Invariant Linear Filters and Real GDP : A Case of Japan

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概要

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• We compare distortionary effects of time-invariant linear filters used in the economic literature. We investigate the HP filter (Hodrick and Prescott, 1997), the Butterworth filters, and BK filter (Baxter and King, 1999) in filtering real GDP of Japan. We find that the tangent-based Butterworth has the smallest distortion.

• 成城大学の論文

著者

• 大津 武

  成城大学経済学部

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• Time-Invariant Linear Filters and Real GDP : A Case of Japan

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