Boosting the HP Filter for Trending Time Series with Long Range Dependence

Eva Biswas, Farzad Sabzikar and Peter Phillips
Additional contact information
Eva Biswas: Department of Statistics, Iowa State University
Farzad Sabzikar: Department of Statistics, Iowa State University

No 2347, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper extends recent asymptotic theory developed for the Hodrick Prescott (HP) filter and boosted HP (bHP) filter to long range dependent time series that have fractional Brownian motion (fBM) limit processes after suitable standardization. Under general conditions it is shown that the asymptotic form of the HP filter is a smooth curve, analogous to the finding in Phillips and Jin (2021) for integrated time series and series with deterministic drifts. Boosting the filter using the iterative procedure suggested in Phillips and Shi (2021) leads under well defined rate conditions to a consistent estimate of the fBM limit process or the fBM limit process with an accompanying deterministic drift when that is present. A stopping criterion is used to automate the boosting algorithm, giving a data-determined method for practical implementation. The theory is illustrated in simulations and two real data examples that highlight the differences between simple HP filtering and the use of boosting. The analysis is assisted by employing a uniformly and almost surely convergent trigonometric series representation of fBM.

Pages: 46 pages
Date: 2022-08
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/2022-12/d2347.pdf (application/pdf)

Related works:
Journal Article: Boosting the HP filter for trending time series with long-range dependence (2024)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:2347

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().