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

Kristian Jönsson ()
Additional contact information
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
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2018/Volume38/EB-18-V38-I1-P60.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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 ().