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On trend robustness and end-point issues for New Zealand’s stylised business cycle facts

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dc.contributor.author Hall, Viv
dc.contributor.author Thomson, Peter
dc.contributor.author McKelvie, Stuart
dc.date.accessioned 2015-01-07T19:58:48Z
dc.date.accessioned 2022-07-06T22:26:20Z
dc.date.available 2015-01-07T19:58:48Z
dc.date.available 2022-07-06T22:26:20Z
dc.date.copyright 2014
dc.date.issued 2015
dc.identifier.uri https://ir.wgtn.ac.nz/handle/123456789/18867
dc.description.abstract We present new empirical evidence on trend robustness and end-point issues, utilising the macroeconomic data set investigated in McKelvie and Hall (2012). We consider the relative merits of non-robust Hodrick-Prescott (HP) and robust loess (LOcal regrESSion) trend filtering methods, and assess the sensitivity of HP1600 stylised facts to (i) the considerable “supply shock” deviations from trend associated with New Zealand’s 1992 power crisis, and (ii) an alternative HP100 specification and the loess approach. On end-point issues, we assess value-added from the use of seven-point triangular moving average and HP1600 filters, relative to insights from a 21-quarter uniform moving average filter. en_NZ
dc.format pdf en_NZ
dc.language.iso en_NZ
dc.publisher Te Herenga Waka—Victoria University of Wellington en_NZ
dc.relation.ispartofseries SEF Working paper ; 12/2014 en_NZ
dc.subject Trend robustness en_NZ
dc.subject End-point issues en_NZ
dc.subject Growth cycle analysis; en_NZ
dc.subject Stylised business cycle facts en_NZ
dc.subject New Zealand en_NZ
dc.title On trend robustness and end-point issues for New Zealand’s stylised business cycle facts en_NZ
dc.type Text en_NZ
vuwschema.contributor.unit School of Economics and Finance en_NZ
vuwschema.subject.anzsrcfor 140212 Macroeconomics (incl. Monetary and Fiscal Theory) en_NZ
vuwschema.type.vuw Working or Occasional Paper en_NZ
vuwschema.subject.anzsrcforV2 380112 Macroeconomics (incl. monetary and fiscal theory) en_NZ
dc.rights.rightsholder www.victoria.ac.nz/sef/research/sef.working.papers en_NZ

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