Taking the yolk from the white: New filter separates trend and cycle in macroeconomic data

In research published in the International Journal of Computational Economics and Econometrics, Peng Zhou of Cardiff University proposes a new filter technique that can separate the yolk from egg white, figuratively speaking. The filter separates trend and cycle based on stylised economic properties, rather than relying on ad hoc statistical properties such as frequency, he writes. The effectiveness of the approach has been tested against the long macroeconomic data collected by the Bank of England from 1700 to 2015.

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