To Boost or Not to Boost? That is the Question

Ye Lu and Adrian Pagan

No 2023-05, Working Papers from University of Sydney, School of Economics

Abstract: Phillips and Shi (2021) have argued that there may be some leakage from the estimate of the permanent component to what is meant to be the transitory component when one uses the Hodrick-Prescott filter. They argue that this can be eliminated by boosting the filter. We show that there is no leakage from the filter per se, so boosting is not needed for that. They also argue that there are DGP’s for the components for which the boosted filter tracks these more accurately. We show that there are other plausible DGP’s where the boosted filter tracks less accurately, and what is crucial to tracking performance is how important permanent shocks are to growth in the series being filtered. In particular, the DGP’s used in Phillips and Shi (2021) have a very high contribution from permanent shocks.

Date: 2023-02
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://econ-wpseries.com/2023/202305.pdf
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to econ-wpseries.com:80 (nodename nor servname provided, or not known)

Related works:
Working Paper: To Boost or Not to Boost? That is the Question (2023)
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:syd:wpaper:2023-05

Access Statistics for this paper

More papers in Working Papers from University of Sydney, School of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Vanessa Holcombe ().