Hodrick-Prescott Filter: An Extreme-Sport Testing

Wulfrano Gómez (), Leovardo Mata () and Montserrat Reyna ()
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Wulfrano Gómez: Tecnológico de Monterrey
Leovardo Mata: Tecnológico de Monterrey
Montserrat Reyna: Tecnológico de Monterrey

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2013, vol. 7, issue 1, 1-13

Abstract: Filtering time series is important for several reasons in economics. The Hodrick Prescott Filter is the most popular tool when it comes to filtering. Therefore we have put ourselves to the task of testing its performance for a variety of trends and a variety of noises. Also we open a discussion on the choice of the smoothing parameter

Keywords: Hodrick Prescott Filter; smoothing parameter; time series (search for similar items in EconPapers)
JEL-codes: C32 G12 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:201301

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