The spectral analysis of the Hodrick–Prescott filter

DOI10.1111/jtsa.12622OpenAlexW3198112409MaRDI QIDQ5095293

Robert M. de Jong, Neslihan Sakarya

Publication date: 8 August 2022

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12622

zbMATH Keywords

spectrumcointegrationautocovariance functionHodrick-Prescott filtercross-spectrumcross-covariance function

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Fourier coefficients, Fourier series of functions with special properties, special Fourier series (42A16) Inference from stochastic processes (62Mxx)

Cites Work

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• Low frequency filtering and real business cycles
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• Time to Build and Aggregate Fluctuations
• Long-Run Covariability
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER
• BOOSTING: WHY YOU CAN USE THE HP FILTER
• Band Spectral Regression with Trending Data
• A PROPERTY OF THE HODRICK–PRESCOTT FILTER AND ITS APPLICATION

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