TY - JOUR
T1 - On suboptimality of the Hodrick-Prescott filter at time series endpoints
AU - Mise, Emi
AU - Kim, Tae Hwan
AU - Newbold, Paul
PY - 2005/3
Y1 - 2005/3
N2 - The Hodrick-Prescott filter is often applied to economic series as part of the study of business cycles. Its properties have most frequently been explored through the development of essentially asymptotic results which are practically relevant only some distance from series endpoints. Our concern here is with the most recent observations, as policy-makers will often require an assessment of whether, and by how much, an economic variable is "above trend". We show that if such an issue is important, an easily implemented adjustment to the filter is desirable.
AB - The Hodrick-Prescott filter is often applied to economic series as part of the study of business cycles. Its properties have most frequently been explored through the development of essentially asymptotic results which are practically relevant only some distance from series endpoints. Our concern here is with the most recent observations, as policy-makers will often require an assessment of whether, and by how much, an economic variable is "above trend". We show that if such an issue is important, an easily implemented adjustment to the filter is desirable.
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U2 - 10.1016/j.jmacro.2003.09.003
DO - 10.1016/j.jmacro.2003.09.003
M3 - Article
AN - SCOPUS:13844267776
SN - 0164-0704
VL - 27
SP - 53
EP - 67
JO - Journal of Macroeconomics
JF - Journal of Macroeconomics
IS - 1
ER -