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Applied Economics Letters Volume 25, 2018 - Issue 2
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Original Articles

Why does the trend extracted by the Hodrick–Prescott filtering seem to be more plausible than the linear trend?

Hiroshi YamadaDepartment of Economics, Hiroshima University, Higashi-Hiroshima, JapanCorrespondence[email protected]
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Pages 102-105 | Published online: 17 Mar 2017

References

  • Gómez, V. 2001. “The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series.” Journal of Business and Economic Statistics 19 (3): 365–373. doi:10.1198/073500101681019909.
  • Hodrick, R. J., and E. C. Prescott. 1997. “Postwar U.S. Business Cycles: An Empirical Investigation.” Journal of Money, Credit and Banking 29 (1): 1–16. doi:10.2307/2953682.
  • King, R. G., and S. T. Rebelo. 1993. “Low Frequency Filtering and Real Business Cycles.” Journal of Economic Dynamics and Control 17 (1–2): 207–231. doi:10.1016/S0165-1889(06)80010-2.
  • Morley, J. C., C. R. Nelson, and E. Zivot. 2003. “Why are the Beveridge–Nelson and Unobserved-Components Decompositions of GDP so Different?” Review of Economics and Statistics 85 (2): 235–243. doi:10.1162/003465303765299765.
  • Paige, R. L., and A. A. Trindade. 2010. “The Hodrick–Prescott Filter: A Special Case of Penalized Spline Smoothing.” Electronic Journal of Statistics 4: 856–874. doi:10.1214/10-EJS570.
  • Perron, P., and T. Wada. 2009. “Let’s Take a Break: Trend and Cycles in US Real GDP.” Journal of Monetary Economics 56: 749–765. doi:10.1016/j.jmoneco.2009.08.001.
  • Reeves, J. J., C. A. Blyth, C. M. Triggs, and J. P. Small. 2000. “The Hodrick–Prescott Filter, a Generalization, and a New Procedure for Extracting an Empirical Cycle from a Series.” Studies in Nonlinear Dynamics and Econometrics 4 (1): 1–16. doi:10.1162/108118200569153.
  • Weinert, H. L. 2007. “Efficient Computation for Whittaker–Henderson Smoothing.” Computational Statistics and Data Analysis 52: 959–974. doi:10.1016/j.csda.2006.11.038.
  • Yamada, H. 2015. “Ridge Regression Representations of the Generalized Hodrick–Prescott Filter.” Journal of the Japan Statistical Society 45: 121–128. doi:10.14490/jjss.45.121.
  • Yamada, H. 2017. “Several Least Squares Problems Related to the Hodrick-Prescott Filtering.” Communications in Statistics – Theory and Methods 0-0. doi:10.1080/03610926.2017.1285934.

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