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Original Articles

Computing the moments of the filtered variables in a state-space system

Pages 759-760 | Published online: 05 Oct 2010

References

  • Hodrick , R. J. and Prescott , E. C. 1997 . Post-war U.S. business cycles: An empirical investigation . Journal of Money, Credit, and Banking , 29 : 1 – 16 .
  • King , R. G. and Rebelo , S. T. 1993 . Low frequency filtering and real business cycles . Journal of Economic Dynamics and Control , 17 : 207 – 232 .
  • Kydland , F. E. and Prescott , E. C. 1982 . Time to build and aggregate fluctuations . Econometrica , 50 : 1345 – 1370 .
  • Zellner , A. and Palm , F. 1974 . Time series analysis and simultaneous equation models . Journal of Econometrics , 2 : 17 – 54 .

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