On Adjusting the One-Sided Hodrick-Prescott Filter
نویسندگان
چکیده
منابع مشابه
On Adjusting the Hodrick-prescott Filter for the Frequency of Observations
This paper studies how the Hodrick-Prescott filter should be adjusted when changing the frequency of observations. It complements the results of Baxter and King (1999) with an analytical analysis, demonstrating that the filter parameter should be adjusted by multiplying it with the fourth power of the observation frequency ratios. This yields an HP parameter value of 6.25 for annual data given ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2020
ISSN: 1556-5068
DOI: 10.2139/ssrn.3536248