Postwar US business cycles: an empirical investigation

RJ Hodrick, EC Prescott - Journal of Money, credit, and Banking, 1997 - JSTOR
RJ Hodrick, EC Prescott
Journal of Money, credit, and Banking, 1997JSTOR
We propose a procedure for representing a time series as the sum of a smoothly varying
trend component and a cyclical component. We document the nature of the comovements of
the cyclical components of a variety of macroeconomic time series. We find that these
comovements are very different than the corresponding comovements of the slowly varying
trend components.
We propose a procedure for representing a time series as the sum of a smoothly varying trend component and a cyclical component. We document the nature of the comovements of the cyclical components of a variety of macroeconomic time series. We find that these comovements are very different than the corresponding comovements of the slowly varying trend components.
JSTOR