Julio, Juan Manuel (2011): The Hodrick-Prescott filter with priors: linear restrictions on HP filters.
This is the latest version of this item.
Download (457Kb) | Preview
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.
|Item Type:||MPRA Paper|
|Original Title:||The Hodrick-Prescott filter with priors: linear restrictions on HP filters|
|English Title:||The Hodrick-Prescott filter with priors: linear restrictions on HP filters|
|Keywords:||Business Cycles, Hodrick-Prescott Filter|
|Subjects:||E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations; Cycles
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
|Depositing User:||Juan Manuel Julio|
|Date Deposited:||21. Oct 2011 14:33|
|Last Modified:||15. Feb 2013 17:42|
Cogley, T., and Nason, J. M. (1995) “Effects of the Hodrick–Prescott filter on trend and difference stationary time series. Implications for business cycle research” Journal of Economic Dynamics and Control 19, 253–278.
Hodrick, E. and Prescott, E. (1997) “Postwar U.S. Business Cycles: An Empirical Investigation”, Journal of Money, Credit and Banking, Vol. 29, No. 1 (Feb., 1997), pp. 1-16.
Julio, J. M. (2011a) “Modeling Data Revisions”, Borradores Semanales de Economía, # 641, February, BANCO DE LA REPUBLICA, http://www.banrep.gov.co/docum/ftp/borra641.pdf.
Julio, J. M. (2011b) “Data Revisions and the Output Gap”, Borradores Semanales de Economía, # 642, February, BANCO DE LA REPUBLICA, http://www.banrep.gov.co/docum/ftp/borra642.pdf.
Kaiser, R. and Maravall, A. (1999) “Estimation of the business cycles: A modified Hodrick-Prescott filter”, Spanish Economic Review, 1, 175-206.
Kaiser, R. and Maravall, A. (2005) “Combining filter design with model-based filtering (with an application to business-cycle estimation)”, International Journal of Forecasting, 21, 691– 710.
King, R.G., and Rebelo, S.T. (1993) “Low frequency filtering and real business cycles”, Journal of Economic Dynamics and Control, 17, 207–232.
Available Versions of this Item
The Hodrick-Prescott filter with priors: linear restrictions on HP filters. (deposited 19. Oct 2011 18:57)
- The Hodrick-Prescott filter with priors: linear restrictions on HP filters. (deposited 21. Oct 2011 14:33) [Currently Displayed]