Adapting the Hodrick-Prescott Filter for Very Small Open Economies
نویسندگان
چکیده
منابع مشابه
Exact Formulas for the Hodrick-Prescott Filter
The Hodrick-Prescott (HP) filter is widely used in the field of economics to estimate trends and cycles from time series data. For certain applications – such as deriving implied trend and cycle models and obtaining filter weights – it is desirable to express the frequency response of the HP as the spectral density of an ARMA model; in other words, to accomplish the spectral factorization of th...
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Hodrick and Prescott (1997) proposed a smoothing method for economic time series that is very similar to graduation, it is usually known as the H-P method. They acknowledged that this method is equivalent to graduation methods and that it had been in use among actuaries. The literature on smoothing methods based on their approach grew separately from the graduation literature, due to the useful...
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The irregular and slope disturbances, εt and ζt, respectively, are mutually independent and the notation NID(0, σ2) denotes normally and independently distributed with mean zero and variance σ2. The signal-noise ratio, q = σ2 ζ/σ 2 ε , plays the key role in determining how observations should be weighted for prediction and signal extraction. The higher is q, the more past observations are disco...
متن کاملConstructing Confidence Bands for the Hodrick-Prescott Filter
Author Contact: David E. Giles, Dept. of Economics, University of Victoria, P.O. Box 1700, STN CSC, Victoria, B.C., Canada V8W 2Y2; e-mail: [email protected]; Phone: (250) 721-8540; FAX: (250) 721-6214 Abstract By noting that the Hodrick-Prescott filter can be expressed as the solution to a particular regression problem, we are able to show how to construct confidence bands for the filtered time-s...
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The Hodrick-Prescott filter represents one of the most popular method for trendcycle extraction in macroeconomic time series. In this paper we provide a multivariate generalization of the Hodrick-Prescott filter, based on the seemingly unrelated time series approach. We first derive closed-form expressions linking the signal-noise matrix ratio to the parameters of the VARMA representation of th...
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ژورنال
عنوان ژورنال: International Journal of Economics and Finance
سال: 2013
ISSN: 1916-9728,1916-971X
DOI: 10.5539/ijef.v5n8p39