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Exact formulas for the Hodrick-Prescott filter

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  • Tucker McElroy

Abstract

The Hodrick--Prescott (HP) filter is widely used in the field of economics to estimate trends and cycles from time series data. For certain applications--such as deriving implied trend and cycle models and obtaining filter weights--it is desirable to express the frequency response of the HP as the spectral density of an ARMA model; in other words, to accomplish the spectral factorization of the HP filter. This paper presents an exact approach to this problem, which makes it possible to provide exact algebraic formulas for the HP filter coefficients in terms of the HP's signal-to-noise ratio. Copyright Royal Economic Society 2008

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2008.00230.x
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Bibliographic Info

Article provided by Royal Economic Society in its journal Econometrics Journal.

Volume (Year): 11 (2008)
Issue (Month): 1 (03)
Pages: 209-217

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Handle: RePEc:ect:emjrnl:v:11:y:2008:i:1:p:209-217

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Cited by:
  1. Coeurdacier, Nicolas & Kollmann, Robert Miguel W. K. & Martin, Philippe J., 2008. "International portfolios, capital accumulation and foreign assets dynamics," Discussion Paper Series 1: Economic Studies 2008,19, Deutsche Bundesbank, Research Centre.
  2. Nicolas Coeurdacier, 2011. "Limited participation and International Risk-Sharing," 2011 Meeting Papers 613, Society for Economic Dynamics.
  3. Kristian Jönsson, 2010. "Trend extraction with a judgement-augmented hodrick–prescott filter," Empirical Economics, Springer, vol. 39(3), pages 703-711, December.

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