Assesing Hp Filter Performance for Argentina and U.S. Macro Aggregates

Hodrick-Prescott filter has been the favourite empirical technique among researchers studying “cycles”. Software facilities and the optimality criterion, from which the filter can be derived, can explain its wide use. However, different shortcomings and drawbacks have been pointed out in the literat...

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Detalles Bibliográficos
Autores principales: Ahumada, Hildegart, Garegnani, María Lorena
Formato: Articulo
Lenguaje:Inglés
Publicado: 2000
Materias:
Ciencias Económicas
HP filter
Cycles
Spurious cycles
Genuine cross correlation
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/123574
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-123574
record_format dspace
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Económicas
HP filter
Cycles
Spurious cycles
Genuine cross correlation
spellingShingle Ciencias Económicas
HP filter
Cycles
Spurious cycles
Genuine cross correlation
Ahumada, Hildegart
Garegnani, María Lorena
Assesing Hp Filter Performance for Argentina and U.S. Macro Aggregates
topic_facet Ciencias Económicas
HP filter
Cycles
Spurious cycles
Genuine cross correlation
description Hodrick-Prescott filter has been the favourite empirical technique among researchers studying “cycles”. Software facilities and the optimality criterion, from which the filter can be derived, can explain its wide use. However, different shortcomings and drawbacks have been pointed out in the literature, as alteration of variability and persistence and detecting spurious cycles and correlations. This paper discusses these criticisms from an empirical point of view trying to clarify what the filter can and cannot do. In particular, a less mechanical use for descriptive analysis is proposed: testing how the estimated cyclical component behaves and using autocorrelation adjusted standard errors to evaluate cross correlations to differentiate the “genuine” from “spurious” case. Simulation results to test these bivariate correlations when there is a “genuine” relationship are presented. Some examples of descriptive analysis for macro aggregates (real activity, trade flows and money) of Argentina and USA are reported to show that not always the filter is appropriate. Simple tools are used to appreciate how the filtered series result and to evaluate cross correlations.
format Articulo
Articulo
author Ahumada, Hildegart
Garegnani, María Lorena
author_facet Ahumada, Hildegart
Garegnani, María Lorena
author_sort Ahumada, Hildegart
title Assesing Hp Filter Performance for Argentina and U.S. Macro Aggregates
title_short Assesing Hp Filter Performance for Argentina and U.S. Macro Aggregates
title_full Assesing Hp Filter Performance for Argentina and U.S. Macro Aggregates
title_fullStr Assesing Hp Filter Performance for Argentina and U.S. Macro Aggregates
title_full_unstemmed Assesing Hp Filter Performance for Argentina and U.S. Macro Aggregates
title_sort assesing hp filter performance for argentina and u.s. macro aggregates
publishDate 2000
url http://sedici.unlp.edu.ar/handle/10915/123574
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bdutipo_str Repositorios
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