Inverting the Hodrick-Prescott Filter

John Stanley Landon-Lane ()

Computational Economics, 2002, vol. 20, issue 3, pages 117-38

Abstract: The Hodrick-Prescott (HP) filter is the most popular method of transforming data in the Real Business Cycle (RBC) literature. An algorithm to invert the Hodrick-Prescott (HP) filter is described. This algorithm is applied, using Markov chain Monte Carlo methods, to the problem of evaluating a simple RBC model. The problem of determining the optimal smoothing parameter for the HP filter is also studied. Copyright 2002 by Kluwer Academic Publishers

Date: 2002
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Persistent link: http://EconPapers.repec.org/RePEc:kap:compec:v:20:y:2002:i:3:p:117-38

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