r-filters: a Hodrick-Prescott Filter Generalization

Fabio Araujo, Marta Areosa and José Rodrigues-Neto

No 69, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: A two-parameter family of filters is proposed in which the HP filter is considered as the lowest order member. While the HP filter converges to linear time trend as the smoothing factor grows, the higher order members of the proposed family converge to higher order polynomial time trends. The filter order - the new parameter introduced - allows to set the filter selectivity. Furthermore, two different methods to implement these filters are presented.

Date: 2003-02
References: Add references at CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps69.pdf (application/pdf)

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:bcb:wpaper:69

Access Statistics for this paper

More papers in Working Papers Series from Central Bank of Brazil, Research Department
Bibliographic data for series maintained by Rodrigo Barbone Gonzalez ().