The Hodrick-Prescott technique: A smoother versus a filter: An application to New Zealand GDP

DOI10.1016/S0165-1765(97)00178-XMaRDI QIDQ1389418zbMATH OpenOpenAlexFDO

Authors W. Razzak

Publication date 30 June 1998

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(97)00178-x

zbMATH Keywords

filterPhillips curvesmootherHodrick-Prescott

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Recommendations

• Reconciling output gaps: unobserved components model and Hodrick-Prescott filter
• The Hodrick-Prescott filter, a generalization, and a new procedure for extracting an empirical cycle from a series
• Estimating the Smoothing Parameter in the So-called Hodrick-Prescott Filter
• Inverting the Hodrick-Prescott filter
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series

Cites work

• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• Low frequency filtering and real business cycles

Cited in

(10)

• A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK–PRESCOTT FILTER
• On fractional filtering versus conventional filtering in economics
• The Hodrick--Prescott filter, the Slutzky effect, and the distortionary effect of filters
• The Hodrick-Prescott filter, a generalization, and a new procedure for extracting an empirical cycle from a series
• A simple heteroscedasticity removing filter
• Estimation of the potential GDP by a new robust filter method
• Spectral properties and geometric interpretation of R-filters
• Estimation of the smoothing parameters in the HPMV filter
• The most appropriate model to estimate Lithuanian business cycle
• The Carlson-Parkin method applied to NZ price expectations using QSBO survey data

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