Exact formulas for the Hodrick-Prescott filter

Tucker McElroy ()

Econometrics Journal, 2008, vol. 11, issue 1, 209-217

Abstract: The Hodrick--Prescott (HP) filter is widely used in the field of economics to estimate trends and cycles from time series data. For certain applications--such as deriving implied trend and cycle models and obtaining filter weights--it is desirable to express the frequency response of the HP as the spectral density of an ARMA model; in other words, to accomplish the spectral factorization of the HP filter. This paper presents an exact approach to this problem, which makes it possible to provide exact algebraic formulas for the HP filter coefficients in terms of the HP's signal-to-noise ratio. Copyright Royal Economic Society 2008

Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (28)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:ect:emjrnl:v:11:y:2008:i:1:p:209-217

Ordering information: This journal article can be ordered from
http://www.ectj.org

Access Statistics for this article

Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms

More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().