The Hodrick-Prescott Filter, a Generalization, and a New Procedure for Extracting an Empirical Cycle from a Series

Reeves Jonathan J., Blyth Conrad A., Triggs Christopher M. and Small John P.
Additional contact information
Reeves Jonathan J.: Queen’s University
Blyth Conrad A.: The University of Auckland
Triggs Christopher M.: The University of Auckland
Small John P.: The University of Auckland

Studies in Nonlinear Dynamics & Econometrics, 2000, vol. 4, issue 1, 17

Abstract: This paper proposes a novel derivation of the Hodrick-Prescott (HP) minimization problem which leads to a generalization of the Hodrick-Prescott filter. The main result is the development of a new filter to extract a localized maximum-likelihood estimate of the cycle from a series. This new filter, the multivariate normal cyclical (MNC) filter, makes only a general assumption about the cyclical nature of the series. The output from this filtering procedure is from a nonlinear optimization routine.

Keywords: business cycle; macroeconomic series decomposition; maximum-likelihood estimation under constraints (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (11)

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DOI: 10.2202/1558-3708.1052

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