Why you should never use the Hodrick-Prescott filter: comment
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- Moura, Alban, 2024. "Why You Should Never Use the Hodrick-Prescott Filter. A Comment on Hamilton (The Review of Economics and Statistics, 2018)," Journal of Comments and Replications in Economics (JCRE), ZBW - Leibniz Information Centre for Economics, vol. 3(2024-1), pages 1-17.
- Alban Moura, 2022. "Why you should never use the Hodrick-Prescott Filter: Comment," BCL working papers 162, Central Bank of Luxembourg.
References listed on IDEAS
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More about this item
Keywords
HP filter; Hamilton filter; business cycles; detrending; filtering;All these keywords.
JEL classification:
- B41 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Economic Methodology
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
Statistics
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