Hide-and-Seek with time-series filters: a model-based Monte Carlo study
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DOI: 10.1007/s00181-019-01736-y
Abstract: Time-series filters have become a major tool for univariate and multivariate analysis of business cycles. Yet, the caveats of filtering, such as distortions in spectral density often mentioned in the literature, may have substantial implications… read more here.
Keywords: time series; model based; series; based monte ... See more keywords