Hodrick-Prescott filter in practice

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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 t...

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Detalles Bibliográficos
Autores principales:	Ahumada, Hildegart, Garegnani, María Lorena
Formato:	Objeto de conferencia
Lenguaje:	Inglés
Publicado:	1999
Materias:	Ciencias Económicas econometría modelo econométrico macroeconomía
Acceso en línea:	http://sedici.unlp.edu.ar/handle/10915/3745 http://www.depeco.econo.unlp.edu.ar/jemi/1999/trabajo01.pdf
Aporte de:	SEDICI (UNLP) de Universidad Nacional de La Plata

id	I19-R120-10915-3745
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institution	Universidad Nacional de La Plata
institution_str	I-19
repository_str	R-120
collection	SEDICI (UNLP)
language	Inglés
topic	Ciencias Económicas econometría modelo econométrico macroeconomía
spellingShingle	Ciencias Económicas econometría modelo econométrico macroeconomía Ahumada, Hildegart Garegnani, María Lorena Hodrick-Prescott filter in practice
topic_facet	Ciencias Económicas econometría modelo econométrico macroeconomía
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 critics 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 are reported to show that not always the filter is appropriate and simple tools could be used to appreciate how the filtered series result and to evaluate cross correlations.
format	Objeto de conferencia Objeto de conferencia
author	Ahumada, Hildegart Garegnani, María Lorena
author_facet	Ahumada, Hildegart Garegnani, María Lorena
author_sort	Ahumada, Hildegart
title	Hodrick-Prescott filter in practice
title_short	Hodrick-Prescott filter in practice
title_full	Hodrick-Prescott filter in practice
title_fullStr	Hodrick-Prescott filter in practice
title_full_unstemmed	Hodrick-Prescott filter in practice
title_sort	hodrick-prescott filter in practice
publishDate	1999
url	http://sedici.unlp.edu.ar/handle/10915/3745 http://www.depeco.econo.unlp.edu.ar/jemi/1999/trabajo01.pdf
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Hodrick-Prescott filter in practice

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