On suboptimality of the Hodrick-Prescott filter at time series endpoints

Emi Mise, Tae-Hwan Kim, Paul Newbold

Research output: Contribution to journalArticle

76 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)53-67
Number of pages15
JournalJournal of Macroeconomics
Volume27
Issue number1
DOIs
Publication statusPublished - 2005 Mar 1

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Economics
Hodrick-Prescott filter
Business cycles
Politicians
Economic variables
Filter

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

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On suboptimality of the Hodrick-Prescott filter at time series endpoints. / Mise, Emi; Kim, Tae-Hwan; Newbold, Paul.

In: Journal of Macroeconomics, Vol. 27, No. 1, 01.03.2005, p. 53-67.

Research output: Contribution to journalArticle

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