The Econometrics of the Hodrick-Prescott Filter

By R. D. de Jong, Neslihan Sakarya. Review of Economics and Statistics, 2016

102 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f513dc4b1b3f497eeb8929018875bd7ed7c60064

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Sainan Jin
2. Peter C. B. Phillips
3. Liangjun Su
4. Yixiao Sun
5. Jun Yu
6. Tassos Magdalinos
7. Donggyu Sul
8. Martin Wagner

In Finance

1. Sainan Jin
2. Peter C. B. Phillips
3. Jun Yu
4. Tassos Magdalinos
5. Yixiao Sun
6. Yoosoon Chang
7. Qiying Wang
8. Martin Wagner

Citations in the corpus

• BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER (2020, methodology): “Suppose that xt is I(1) as in (13) and ut is such that a standardized form of xt satisfies the (weak) functional law (e.”