Real-Time vs. Full-Sample Performance of One-Sided and Two-Sided HP Filters. An Application to 27 EU Member States’ GDP Data

Kaloyan Ganev

Central European Journal of Economic Modelling and Econometrics, 2020, vol. 12, issue 3, 251-272

Abstract: The paper makes a comparison of the results of the application of two-sided and one-sided versions of the Hodrick-Prescott filter on GDP data concerning 27 EU Member States. Based on the results, the overall finding is that, contrary to its assumed advantages, the one-sided filter does not help overcome endpoint unbiasedness. Quite the opposite, it rather spreads and consolidates the endpoint bias that plagues the two-sided version over the entire filtered data. In addition, regression-based results on the influence of the second, third, and fourth moments of the GDP acceleration rates on the differences between onesided and two-sided HP trends are presented.

Keywords: one-sided and two-sided Hodrick-Prescott filters; endpoint bias (search for similar items in EconPapers)
JEL-codes: C32 E37 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:psc:journl:v:12:y:2020:i:3:p:251-272

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