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Hodrick-Prescott Filter: An Extreme-Sport Testing

Author

Listed:
  • Wulfrano Gómez

    (Tecnológico de Monterrey)

  • Leovardo Mata

    (Tecnológico de Monterrey)

  • Montserrat Reyna

    (Tecnológico de Monterrey)

Abstract

Filtering time series is important for several reasons in economics. The Hodrick Prescott Filter is the most popular tool when it comes to filtering. Therefore we have put ourselves to the task of testing its performance for a variety of trends and a variety of noises. Also we open a discussion on the choice of the smoothing parameter

Suggested Citation

  • Wulfrano Gómez & Leovardo Mata & Montserrat Reyna, 2013. "Hodrick-Prescott Filter: An Extreme-Sport Testing," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 7(1), pages 1-13.
    • Handle: RePEc:ega:rafega:201301
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Hodrick Prescott Filter; smoothing parameter; time series;
    All these keywords.

    JEL classification:

    • 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
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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