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The Hodrick-Prescott Filter at Time Series Endpoints
| Content Provider | Semantic Scholar |
|---|---|
| Author | Mise, Emi Kim, Tae-Hwan Newbold, Paul |
| Copyright Year | 2003 |
| Abstract | The Hodrick-Prescott filter is often applied to economic series as part of the study of business cycles. Its properties have most frequently been explored through the development of essentially asymptotic results which are practically relevant only some distance from series endpoints. Our concern here is with the most recent observations, as policy-makers will often require an assessment of whether, and by how much, an economic variable is "above trend". We show that if such an issue is important, an easily implemented adjustment to the filter is desirable. |
| File Format | PDF HTM / HTML |
| DOI | 10.2139/ssrn.422563 |
| Alternate Webpage(s) | http://plaza.ufl.edu/yiz21cn/refer/suboptimal%20of%20HP%20filter.pdf |
| Alternate Webpage(s) | http://www.nottingham.ac.uk/economics/documents/discussion-papers/03-08.pdf |
| Alternate Webpage(s) | https://doi.org/10.2139/ssrn.422563 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
