TREND ESTIMATION AND THE HODRICK-PRESCOTT FILTER

By Andrew S. Harvey, T. Trimbur. 2008

107 citations recorded by the source corpus.

The article analyses the relationship between unobserved component trend-cycle models and the Hodrick-Prescott filter. Consideration is given to the consequences of using an inappropriate smoothing constant and the effect of changing the observation interval.

Subfields: Applied Mathematics, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ae771ed22578320da799829b786a17536a8144d0

Citations in the corpus

• The Hodrick-Prescott Filter A Special Case of Penalized Spline Smoothing (2010, unknown): “We conclude in Section 5 by revisiting the U.S. gross national product series originally analyzed by Hodrick and Prescott (1997), and comparing a variety of data-driven penalized spline models to the classical HPF.”