TransWikia.com

How to Interpret Coefficients in Regressions on Filtered Varaibles?

Economics Asked by user29937 on March 19, 2021

Suppose you have a logged variable $y_t$ which is comprised of a trend component $tau_t$ and a cyclical component $c_t$. Thus:

$y_t=tau_t+c_t.$

Then you apply a filter to that variable to extract the stationary cyclical component $c_t$. Then if you use $c_t$ as a dependent variable in a regression how would one interpret the response of that variable based on some regressor that is:

1.Already stationary and thus not filtered (say some stock market index)

2.Also a filtered variable.

Another side question I have is can you ever apply a filter (for instance the HP or BK filters) on data that isn’t logged?

Add your own answers!

Ask a Question

Get help from others!

© 2024 TransWikia.com. All rights reserved. Sites we Love: PCI Database, UKBizDB, Menu Kuliner, Sharing RPP