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Extending the state-space representation of the judgement-augmented Hodrick-Prescott filter

Kristian Jönsson ()
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Kristian Jönsson: National Institute of Economic Research

Authors registered in the RePEc Author Service: Kristian Jönsson

Economics Bulletin, 2018, vol. 38, issue 1, 623-628

Abstract: Introducing judgement, or restrictions, in the analytical form of the Hodrick-Prescott (HP) filter involves setting a parameter for how tightly the restrictions should hold. The current paper suggests an interpretation of this parameter and suggests a way to extend the state-space form of the judgement-augmented filter to include a corresponding parameter. The paper thereby bridges the remaining gap between the analytical form and the state-space form of the restricted HP filter.

Keywords: HP-filter; Trend/cycle decomposition; Output gap; Judgement; State-space models (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2018-03-23
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