The Hodrick-Prescott filter, a generalization, and a new procedure for extracting an empirical cycle from a series

zbMATH Open1079.91559MaRDI QIDQ3368239FDOQ3368239

Christopher M. Triggs, Conrad A. Blyth, Jonathan J. Reeves, John P. Small

Publication date: 27 January 2006

Recommendations

• On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates
• Estimating the Smoothing Parameter in the So-called Hodrick-Prescott Filter
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• The Hodrick-Prescott technique: A smoother versus a filter: An application to New Zealand GDP
• scientific article; zbMATH DE number 2222919

zbMATH Keywords

business cyclemacroeconomic series decompositionmaximum-likelihood estimation under

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Cited In (12)

• Measuring business cycles in economic time series
• Title not available (Why is that?)
• Multivariate extension of the Hodrick-Prescott filter-optimality and characterization
• Inverting the Hodrick-Prescott filter
• Spectral properties and geometric interpretation of R-filters
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• Exact formulas for the Hodrick-Prescott filter
• A simple nonlinear filter for economic time series analysis.
• Time series smoothing by penalized least squares
• Several least-squares problems related to the Hodrick–Prescott filtering
• On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates
• Selecting the tuning parameter of the \(\ell_1\) trend filter

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