Inverting the Hodrick-Prescott filter

DOI10.1023/A:1020923129872MaRDI QIDQ1872053zbMATH OpenFDO

Authors John S. Landon-Lane

Publication date 4 May 2003

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1020923129872

zbMATH Keywords

Markov chain Monte Carlomodel comparisonreal business cycles

Mathematics Subject Classification ID

Coding and information theory (compaction, compression, models of communication, encoding schemes, etc.) (aspects in computer science) (68P30)

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• Distortionary effects of the optimal Hodrick--Prescott filter
• The Hodrick-Prescott technique: A smoother versus a filter: An application to New Zealand GDP
• Using HP filtered data for econometric analysis: some evidence from Monte Carlo simulations
• A simple heteroscedasticity removing filter
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• Boosting: why you can use the HP filter
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