The Hodrick-Prescott filter with priors: linear restrictions on HP filters

Juan Julio

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: Business Cycles; Hodrick-Prescott Filter (search for similar items in EconPapers)
JEL-codes: C22 E32 (search for similar items in EconPapers)
Date: 2011-10-19
New Economics Papers: this item is included in nep-cis, nep-ecm, nep-ets and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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https://mpra.ub.uni-muenchen.de/34229/1/MPRA_paper_34229.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:34202

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