Business cycles, trend elimination, and the HP filter

DOI10.1111/IERE.12494MaRDI QIDQ4959671zbMATH OpenOpenAlexFDO

Authors Peter C. B. Phillips, Sainan Jin

Publication date 17 September 2021

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://ink.library.smu.edu.sg/soe_research/2423

zbMATH Keywords

detrendinggraduationHodrick-Prescott filterintegrated processlimit theorysmoothingtrend breakWhittaker filter

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Economic growth models (91B62) Stochastic models in economics (91B70)

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Cited in

(18)

• Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter
• Sparse HP filter: finding kinks in the COVID-19 contact rate
• Using HP filtered data for econometric analysis: some evidence from Monte Carlo simulations
• The Holt-Winters filter and the one-sided HP filter: a close correspondence
• Economic growth and business cycles: a critical comment on detrending time series
• BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX
• Modeling and estimating correlated growth and business cycles in a multivariate Hodrick-Prescott filter
• Boosting: why you can use the HP filter
• SPECTRAL FINANCIAL ECONOMETRICS
• Trend extraction from economic time series with missing observations by generalized Hodrick-Prescott filters
• The spectral analysis of the Hodrick–Prescott filter
• A property of the Hodrick-Prescott filter and its application
• The Hodrick--Prescott filter, the Slutzky effect, and the distortionary effect of filters
• Extracting business cycles with three filters: A comparative study and application in the case of China
• An affine model for short rates when monetary policy is path dependent
• Lower and upper bounds for the eigenvalues of a pentadiagonal matrix arising in the Hodrick-Prescott filter
• Boosting the HP filter for trending time series with long-range dependence
• HPX filter: a hybrid of Hodrick-Prescott filter and multiple regression

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