The Hodrick–Prescott filter, the Slutzky effect, and the distortionary effect of filters

By T. Pedersen. 2001

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Do the Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles? (2005, background): “In response to an earlier version of this paper, PEDERSON (2001) shows that the HP filter with a smoothing parameter equal to 1600 creates fewer distortions than various others filters.”
Will business cycles in the Euro Area converge: a critical survey of empirical research (2008, background): “Pedersen (2001) discusses these criticisms and points out that even an ideal filter would suffer from the phenomena the critics describe.”
Reconsidering the evidence: are Eurozone business cycles converging? (2004, background): “6 Pedersen (2001) derives the optimal estimator of λ for a stationary y t process.”