OECD Statistics Working Papers

ISSN :
1815-2031 (en ligne)
DOI :
10.1787/18152031
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The OECD Statistics Working Paper Series - managed by the OECD Statistics Directorate – is designed to make available in a timely fashion and to a wider readership selected studies prepared by staff in the Secretariat or by outside consultants working on OECD projects. The papers included are of a technical, methodological or statistical policy nature and relate to statistical work relevant to the organisation. The Working Papers are generally available only in their original language - English or French - with a summary in the other.
 

OECD Composite Leading Indicators for G7 Countries

A Comparison of the Hodrick-Prescott Filter and the Multivariate Direct Filter Approach You or your institution have access to this content

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Auteur(s):
Gyorgy Gyomai1, Marc Wildi2
Author Affiliations
  • 1: OCDE, France

  • 2: Zurich University of Applied Sciences, Suisse

Date de publication
31 déc 2012
Bibliographic information
No:
2012/05
Pages
32
DOI
10.1787/5k4dhnzw8xr3-en

Cacher / Voir l'abstract

We estimate the business-cycles of G7 countries, as defined by an ideal 2-10 year bandpass filter applied to country-specific GDP target series (GDP-BP). Since this target series cannot be observed in real-time, due to the symmetry of the bandpass filter, we analyze and compare the leading performances of the well-known HP-filter, as currently implemented in the OECD CLI’s, as well as of the Multivariate Direct Filter Approach (MDFA) relying on explanatory time series, as selected for current CLIs. The paper shows that efficiency gains by MDFA over HP are substantial along the full revision-sequence and they are consistent across countries as well as over time, when referenced against GDP-BP.