Порівняння методів
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| Фільтр Ба́кстера–Кі́нга (Baxter-King Band-Pass Filter)× | HP Filter× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Process / pipeline | Process / pipeline |
| Рік появи≠ | 1999 | 1997 |
| Автор методу≠ | Marianne Baxter & Robert King | Robert Hodrick & Edward Prescott |
| Тип≠ | Linear symmetric moving-average filter | Penalized least-squares smoother |
| Основоположне джерело≠ | Baxter, M., & King, R. G. (1999). Measuring business cycles: Approximate band-pass filters for economic time series. Review of Economics and Statistics, 81(4), 575–593. DOI ↗ | Hodrick, R. J., & Prescott, E. C. (1997). Postwar U.S. business cycles: An empirical investigation. Journal of Money, Credit and Banking, 29(1), 1–16. DOI ↗ |
| Інші назви | Baxter-King Filter, Band-Pass Filter (Baxter-King), BK Band-Pass Filter, Bant Geçiren Süzgeç | Hodrick-Prescott Filter, HP Decomposition, Trend-Cycle Filter, HP Filtresi |
| Пов'язані | 3 | 3 |
| Підсумок≠ | The Baxter-King (BK) band-pass filter, introduced by Marianne Baxter and Robert King in 1999, is a linear symmetric moving-average filter designed to isolate cyclical fluctuations in macroeconomic time series that fall within a specified range of periodicities. It removes both very low-frequency trends and very high-frequency noise, retaining only the business-cycle component—typically oscillations with a period of six to thirty-two quarters for quarterly data. | The Hodrick-Prescott (HP) filter is a penalized least-squares technique used in macroeconomics and empirical finance to decompose a time series into a smooth long-run trend component and a short-run cyclical component. Introduced by Hodrick and Prescott (1997) using postwar U.S. business cycle data, it has become one of the most widely applied filters in business cycle analysis, monetary policy research, and applied econometrics. |
| ScholarGateНабір даних ↗ |
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