baxter-king

  • Extracting Cyclical Components From Economic Time Series

    The analysis of economic time series often requires the extraction of their cyclical components. This post presents some methods, which can be used to decompose time series into their different components. It is based on the chapter on business cycles by Stock and Watson (1999) in the Handbook of Macroeconomics, but also presents some more recent methods like Hamilton’s (2018) alternative to the HP-filter, wavelet filtering and empirical mode decomposition.