Estimation of the Business Cycles - Selected Methodological Problems of the Hodrick-Prescott Filter Application

Svatopluk Kapounek

MPRA Paper from University Library of Munich, Germany

Abstract: The aim of this article is to highlight a number of problems due to a rather „mechanical“ application of the Hodrick-Prescott Filter and its possible implication for the monetary policy decision-making process. The author concludes that HP filter is not able to estimate the potential output, however it could be used as the efficient tool in monetary policy decision making process and its stabilizing function.

Keywords: economic activity indicator; time series; BDS test; stochastic process; non-linearity (search for similar items in EconPapers)
JEL-codes: C22 C51 E32 (search for similar items in EconPapers)
Date: 2009-09-01
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Citations: View citations in EconPapers (3)

Published in Polish Journal of Environmental Studies 5B.18(2009): pp. 227-231

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