The Explicit Formula for the Hodrick-Prescott Filter in a Finite Sample

• 成果类型: Article
• 署名作者: Cornea-Madeira, Adriana
• 署名单位: University of York - UK
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00594
• 发表日期: 2017-05
• 页码: 314-318
• 关键词: business cycles

摘要

We derive the exact expression for the weights of the Hodrick-Prescott (HP) filter in a finite sample without making any assumptions about the statistical properties of the time series. We use the results to give insights into the properties of the HP filter and to build a fast algorithm with computational improvements by a factor of up to three times in samples typical in economics.