The Holt–Winters filter and the one-sided HP filter: A close correspondence

Rodrigo Alfaro and Mathias Drehmann

Economics Letters, 2023, vol. 222, issue C

Abstract: We show that the trend of the one-sided HP filter can be asymptotically approximated by the Holt–Winters (HW) filter. The latter is an elegant, moving average representation and facilitates the computation of trends tremendously. We confirm the accuracy of this approximation empirically by comparing the one-sided HP filter with the HW filter for generating credit-to-GDP gaps. We find negligible differences, most of them concentrated at the beginning of the sample.

Keywords: HP filter; Holt–Winters filter; Credit cycle (search for similar items in EconPapers)
JEL-codes: C22 E32 (search for similar items in EconPapers)
Date: 2023
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Related works:
Working Paper: The Holt-Winters filter and the one-sided HP filter: A close correspondence (2022)
Working Paper: The Holt-Winters filter and the one-sided HP filter: A close correspondence (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:222:y:2023:i:c:s0165176522003998

DOI: 10.1016/j.econlet.2022.110925

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