Exact formulas for the Hodrick-Prescott filter  

Oleh:

McElroy, Tucker

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 11 no. 1 (2008), page 209-217.
Topik: Business cycle • Filtering • Non-stationary time series
Fulltext: 209.pdf (90.53KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The Hodrick–Prescott (HP) filter is widely used in the field of economics to estimate trends and cycles from time series data. For certain applications—such as deriving implied trend and cycle models and obtaining filter weights—it is desirable to express the frequency response of the HP as the spectral density of an ARMA model; in other words, to accomplish the spectral factorization of the HP filter. This paper presents an exact approach to this problem, which makes it possible to provide exact algebraic formulas for the HP filter coefficients in terms of the HP's signal-to-noise ratio.

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