Locating change-points in Hodrick–Prescott trends with an application to US real GDP: A generalized unobserved components model approach

Gawon Yoon

Economic Modelling, 2015, vol. 45, issue C, 136-141

Abstract: The trends estimated by the Hodrick–Prescott (HP) filter are smooth by design and it is not easy to pinpoint their change-points. In this study, we locate their change-points by formulating the HP filter as a generalized unobserved components model with error terms of mixtures of normal distributions. We apply the method to US real GDP for the 1947:1–2013:3 period and find that a sequence of mostly negative shocks, rather than a few extraordinary large ones, are responsible for the changes in the US real GDP trend.

Keywords: Hodrick–Prescott trends; Change-points; Hodrick–Prescott filter; Generalized unobserved components model (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:45:y:2015:i:c:p:136-141

DOI: 10.1016/j.econmod.2014.10.014

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