The Hodrick-Prescott filter with priors: linear restrictions on HP filters
A closed formula for the Hodrick & Prescott, HP, filter subject to linear restrictions is derived. This filter is also known as the HP filter with priors. When the formula is applied to the ordinary HP filter linear restrictions apply only within the sample. However, when this formula is applied to the extended HP filter and extensions that correct for GDP revisions and delays, linear restrictions apply out of sample also.
|Date of creation:||19 Oct 2011|
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- Cogley, Timothy & Nason, James M., 1995.
"Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research,"
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- Regina Kaiser & Agustín Maravall, 1999.
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9912, Banco de España;Working Papers Homepage.
- Regina Kaiser & Agustín Maravall, 1999. "Estimation of the business cycle: A modified Hodrick-Prescott filter," Spanish Economic Review, Springer;Spanish Economic Association, vol. 1(2), pages 175-206.
- Juan Manuel Julio, 2011.
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BORRADORES DE ECONOMIA
007956, BANCO DE LA REPÚBLICA.
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0417, Banco de España;Working Papers Homepage.
- Kaiser, Regina & Maravall, Agustin, 2005. "Combining filter design with model-based filtering (with an application to business-cycle estimation)," International Journal of Forecasting, Elsevier, vol. 21(4), pages 691-710.
- Juan Manuel Julio Román, 2011.
"Modeling Data Revisions,"
BORRADORES DE ECONOMIA
007929, BANCO DE LA REPÚBLICA.
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