Business Cycle Estimation with High-Pass and Band-Pass Local Polynomial Regression
Abstract
:1. Introduction
2. Materials and Methods
2.1. Standard (High-Pass) Local Polynomial Regression
2.2. Band-Pass Local Polynomial Regression
3. Results
3.1. High-Pass Local Polynomial Regression
3.2. Band-Pass Local Polynomial Regression
3.3. Empirical Applications: US Business Cycles
4. Discussion
4.1. High-Pass Local Polynomial Regression
4.2. Band-Pass Local Polynomial Regression
Acknowledgments
Author Contributions
Conflicts of Interest
References
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- 1Consideration of higher bandwidths resulted in a worse performance.
Kernel Name | Kernel Function |
---|---|
Epanechnikov (EP) | |
Biweight (BI) | |
Rectangular (RE) | |
Triangular (TR) |
Bandwidth | Epanechnikov | Biweight | Rectangular | Triangular |
---|---|---|---|---|
5 | 6.79 | 8.76 | 5.77 | 8.10 |
10 | 1.43 | 2.24 | 1.23 | 1.92 |
15 | 0.66 | 0.79 | 1.27 | 0.73 |
20 | 0.75 | 0.71 | 2.33 | 0.82 |
Bandwidth | Epanechnikov | Biweight | Rectangular | Triangular |
---|---|---|---|---|
5 | 20.38 | 16.70 | 13.05 | 15.54 |
10 | 9.15 | 6.35 | 8.63 | 6.53 |
15 | 6.87 | 4.60 | 8.27 | 4.87 |
20 | 6.69 | 4.46 | 9.08 | 4.82 |
25 | 6.97 | 4.98 | 10.11 | 5.30 |
30 | 7.43 | 5.57 | 10.92 | 5.89 |
Lambda | Hodrick-Prescott |
---|---|
40 | 4.91 |
1600 | 0.60 |
64,000 | 3.04 |
Baxter & King k = 4 | Baxter & King k = 12 | Butterworth |
---|---|---|
8.64 | 1.41 | 0.76 |
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Álvarez, L.J. Business Cycle Estimation with High-Pass and Band-Pass Local Polynomial Regression. Econometrics 2017, 5, 1. https://doi.org/10.3390/econometrics5010001
Álvarez LJ. Business Cycle Estimation with High-Pass and Band-Pass Local Polynomial Regression. Econometrics. 2017; 5(1):1. https://doi.org/10.3390/econometrics5010001
Chicago/Turabian StyleÁlvarez, Luis J. 2017. "Business Cycle Estimation with High-Pass and Band-Pass Local Polynomial Regression" Econometrics 5, no. 1: 1. https://doi.org/10.3390/econometrics5010001