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Estimation of the Business Cycle: a Modified Hodrick-Prescott Filter

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Author Info
Regina Kaiser
Agustín Maravall
Abstract

Hodrick-Prescott (HP) Filter of (most often, seasonally adjusted) quaterly series is analysed. Some of the criticism to the filter are adressed. It is seen that, while filtering strongly affects autocorrelations, it has little effect on crosscorrelations. It is argued that the criticism that HP filtering induces a spurious cycle in the series is unwarranted.

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Publisher Info
Paper provided by Banco de España in its series Banco de España Working Papers with number 9912.

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Length: 41 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:bde:wpaper:9912

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Related research
Keywords: BUSINESS CYCLES ; ESTIMATOR ; ECONOMETRICS;

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C00 - Mathematical and Quantitative Methods - - General - - - General
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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