The Hodrick–Prescott (HP) filter is a commonly used tool in macroeconomics to obtain the HP trend of macroeconomic variable. In macroeconomics, difference between original series and this called ‘cyclical component’. article, we derive autocovariance function spectrum cyclical component that consists constant, linear time trend, unit root process, weakly stationary process. We show such depends...

The recent financial crisis has created a significant deviation between real world and existing business cycle theories. This paper follows the spirit of McGrattan and Prescott (2012) and reassesses this labor productivity puzzle by considering a real business cycle (RBC) model with R&D assets and organizational capital. It contributes to the literature in two ways. First, R&D assets and organi...

A widely used filter to extract a signal in a time series, in particular in the business cycle analysis, is the Hodrick-Prescott filter. The model that underlies the filter considers the data series as the sum of two unobserved component (signal and non signal) and a smoothing parameter which for quarterly series is set to a specified value. This paper proposes a generalization of the Hodrick-P...

On purpose to extract trend and cycle from a time series many competing techniques have been developed. The probably most prevalent is the Hodrick Prescott filter. However this filter suffers from diverse shortcomings, especially the subjective choice of its penalization parameter. To this point penalized splines within a mixed model framework offer the advantage of a data driven derivation of ...

This paper argues that in assessing the effects of tax rates on aggregate hours of market work, it is essential to explicitly consider how the government spends tax revenues. Different choices regarding government spending lead to different elasticities of hours of work with regard to tax rates. I illustrate the empirical importance of this point by addressing the issue of hours worked and tax ...