Julio, Juan Manuel (2011): The Hodrick-Prescott filter with priors: linear restrictions on HP filters.
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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 ; Diffusion Processes
|Depositing User:||Juan Manuel Julio|
|Date Deposited:||21. Oct 2011 14:33|
|Last Modified:||07. Oct 2015 04:20|
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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.
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King, R.G., and Rebelo, S.T. (1993) “Low frequency filtering and real business cycles”, Journal of Economic Dynamics and Control, 17, 207–232.
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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]