The HP filter can lead to spurious findings of cyclicality if the detrending
parameters are misidentified.
3] data and to remove any spatiotemporal autocorrelative patterns, we used a Gaussian detrending
model (Yu et al.
In the next stage, the cycle is extracted from the trend-cycle by modeling and eliminating the trend in a process known as detrending
process was achieved by using a simple first order DC-notch IIR high-pass filter as discussed in .
Section I introduces the data, describes our method of detrending
the trading volume series to achieve its stationarity, and reports some descriptive statistics of the data.
Empirical results show that the estimation of Okun coefficient is sensitive to the detrending
techniques used to derive potential output and unemployment.
for the climate effects, we found a strong influence of total standing dry matter, soil type, and the dominant grass species on SOC stocks.
, all variables are log-linearized around their steady-state to obtain a linear system of equations that characterize the equilibrium of the above model.
As shown in Nelson and Plosser (1988), Rudebusch (1993), and Stock and Watson (1988), the detrending
method has a strong influence on the estimated deviation from the trend (see Harrington and Yu, 2003, for an application of these techniques to underwriting margins).
To eliminate the possibility of the presence of non-periodic components in the series, we transform each of the input series (tapering, mean subtraction and detrending
to get smoother spectrums and correct for the leakage problem) so we are cleared to proceed with the Fourier transformation.
In recognition that gaps are hard to uncover we try a few different estimates: The Congressional Budget Office's (CB0) estimate of the unemployment and output gaps, gaps created by detrending
the observed data (using a Hodrick-Prescott filter), and a measure of the trend in the unemployment rate that takes into account the underlying labor market churn over time (Tasci and Zaman 2010).
When the authors' detrending
procedure is used, much of the large drop in housing starts is likely to appear as a decrease in trend.