Extending the state-space representation of the judgement-augmented Hodrick-Prescott filter
Kristian JÃ¶nsson ()
Additional contact information
Kristian JÃ¶nsson: National Institute of Economic Research
Authors registered in the RePEc Author Service: Kristian Jönsson
Economics Bulletin, 2018, vol. 38, issue 1, 623-628
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-17-00650
Access Statistics for this article
More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().