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

dc.contributor.authorHall, Viv
dc.contributor.authorThomson, Peter
dc.contributor.authorMcKelvie, Stuart
dc.date.accessioned2015-01-07T19:58:48Z
dc.date.accessioned2022-07-06T22:26:20Z
dc.date.available2015-01-07T19:58:48Z
dc.date.available2022-07-06T22:26:20Z
dc.date.copyright2014
dc.date.issued2015
dc.description.abstractWe 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.formatpdfen_NZ
dc.identifier.urihttps://ir.wgtn.ac.nz/handle/123456789/18867
dc.language.isoen_NZ
dc.publisherTe Herenga Waka—Victoria University of Wellingtonen_NZ
dc.relation.ispartofseriesSEF Working paper ; 12/2014en_NZ
dc.rights.rightsholderwww.victoria.ac.nz/sef/research/sef.working.papersen_NZ
dc.subjectTrend robustnessen_NZ
dc.subjectEnd-point issuesen_NZ
dc.subjectGrowth cycle analysis;en_NZ
dc.subjectStylised business cycle factsen_NZ
dc.subjectNew Zealanden_NZ
dc.titleOn trend robustness and end-point issues for New Zealand’s stylised business cycle factsen_NZ
dc.typeTexten_NZ
vuwschema.contributor.unitSchool of Economics and Financeen_NZ
vuwschema.subject.anzsrcfor140212 Macroeconomics (incl. Monetary and Fiscal Theory)en_NZ
vuwschema.subject.anzsrcforV2380112 Macroeconomics (incl. monetary and fiscal theory)en_NZ
vuwschema.type.vuwWorking or Occasional Paperen_NZ

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