The spectral analysis of the Hodrick–Prescott filter

DOI10.1111/JTSA.12622OpenAlexW3198112409MaRDI QIDQ5095293FDOQ5095293

Robert 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

cointegrationHodrick-Prescott filterspectrumautocovariance functioncross-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

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Low frequency filtering and real business cycles
• A PROPERTY OF THE HODRICK–PRESCOTT FILTER AND ITS APPLICATION
• Title not available (Why is that?)
• Band Spectral Regression with Trending Data
• Time to Build and Aggregate Fluctuations
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• Long-Run Covariability
• Title not available (Why is that?)
• BOOSTING: WHY YOU CAN USE THE HP FILTER
• BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER

Cited In (6)

• On the functional Hodrick-Prescott filter with non-compact operators
• Distortionary effects of the optimal Hodrick--Prescott filter
• Title not available (Why is that?)
• Reconciling output gaps: unobserved components model and Hodrick-Prescott filter
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• The Hodrick-Prescott filter: a special case of penalized spline smoothing

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