The Econometrics of the Hodrick-Prescott Filter

The Hodrick-Prescott (HP) filter is a commonly used tool in macroeconomics used to extract a trend component from a time series. In this paper, we derive a new representation of the transformation of the data that is implied by the HP filter.

Subjects

• Macroeconomics
• Econometric models

Details

• From
  The Review of Economics and Statistics, 98, 2 (May 2016) 310-317
• Language
  English
• ISSN
  0034-6535