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Time Aggregation and the Hodrick-Prescott Filter

Author

Listed:
  • Agustín Maravall

    (Banco de España)

  • Ana del Río

    (Banco de España)

Abstract

The time aggregation properties of the Hodrick-Prescott (HP) filter to decompose a time series into trend and cycle are analized for the case of annual, quarterly, and monthly data. It is seen that aggregation of the disagreggate component estimators cannot be obtained as the exact result from applying an HP filter to the aggregate series (and viceversa).

Suggested Citation

  • Agustín Maravall & Ana del Río, 2001. "Time Aggregation and the Hodrick-Prescott Filter," Working Papers 0108, Banco de España.
    • Handle: RePEc:bde:wpaper:0108
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    File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/01/Fic/dt0108e.pdf
    File Function: First version, 2001
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    More about this item

    Keywords

    time series; estimators; business cycles;
    All these keywords.

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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