Ziwei Mei, Peter C. B. Phillips, Zhentao Shi
arXiv 20 Sep 2022 · Econometrics · 5 citations (OpenAlex)
arXiv:2209.09810 · PDF · DOI · OpenAlex · Extracted main text
The global financial crisis and Covid recession have renewed discussion concerning trend-cycle discovery in macroeconomic data, and boosting has recently upgraded the popular HP filter to a modern machine learning device suited to data-rich and rapid computational environments. This paper extends boosting's trend determination capability to higher order integrated processes and time series with roots that are local to unity. The theory is established by understanding the asymptotic effect of boosting on a simple exponential function. Given a universe of time series in FRED databases that exhibit various dynamic patterns, boosting timely captures downturns at crises and recoveries that follow.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Hamilton, J. D (2018) Why You Should Never Use the Hodrick-Prescott Filter | 1.000 | 6 | 3 | 100% |
| 2 | Phillips, P. C. B. and Z. Shi (2021) Boosting: Why You Can Use the HP Filter self | 0.984 | 21 | 6 | 95% |
| 3 | Phillips, P. C. B. and S. Jin (2021) Business Cycles, Trend Elimination, and the HP Filter self | 0.969 | 11 | 5 | 91% |
| 4 | Biswas, E., F. Sabzikar, and P. C. B. Phillips (2023) Boosting the HP Filter for Trending Time Series with Long Range Dependence | 0.737 | 3 | 2 | 100% |
| 5 | Hall, V. B. and P. Thomson (2024) Selecting a Boosted HP Filter for Growth Cycle Analysis Based on Maximising Sharpness | 0.737 | 3 | 2 | 100% |
| 6 | Phillips, P. C. B (1987) Towards a Unified Asymptotic Theory for Autoregression self | 0.737 | 3 | 2 | 100% |
| 7 | Ravn, M. O. and H. Uhlig (2002) On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations | 0.644 | 2 | 2 | 100% |
| 8 | Whittaker, E. T (1923) On a New Method of Graduation | 0.644 | 2 | 2 | 100% |
| 9 | Phillips, P. C. B (1998) New Tools for Understanding Spurious Regressions self | 0.511 | 2 | 2 | 50% |
| 10 | Hall, V. B. and P. Thomson (2021) Better Alternative | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 61 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | On LASSO for High Dimensional Predictive Regression | 0.405 | 1 | 1 |
| 2 | Econometrics of Machine Learning Methods in Economic Forecasting | 0.405 | 1 | 1 |
| 3 | LASSO Inference for High Dimensional Predictive Regressions | 0.405 | 1 | 1 |