Estimation of the Business Cycle: a Modified Hodrick-Prescott Filter

Regina Kaiser and Agustin Maravall ()

Working Papers from Banco de España

Abstract: Hodrick-Prescott (HP) Filter of (most often, seasonally adjusted) quaterly series is analysed. Some of the criticism to the filter are adressed. It is seen that, while filtering strongly affects autocorrelations, it has little effect on crosscorrelations. It is argued that the criticism that HP filtering induces a spurious cycle in the series is unwarranted.

Keywords: BUSINESS CYCLES; ESTIMATOR; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C00 C13 E32 (search for similar items in EconPapers)
Pages: 41 pages
Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (60)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Estimation of the business cycle: A modified Hodrick-Prescott filter (1999)
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:bde:wpaper:9912

Access Statistics for this paper

More papers in Working Papers from Banco de España Contact information at EDIRC.
Bibliographic data for series maintained by Ángel Rodríguez. Electronic Dissemination of Information Unit. Research Department. Banco de España ().