Estimation of the Business Cycle: a Modified Hodrick-Prescott Filter.

Hodrick-Prescott (HP) Filter of (most often, seasonally adjusted) quaterly series is analysed. Some of the criticism to the filter are adressed. It is seen that, while filtering strongly affects autocorrelations, it has little effect on crosscorrelations. It is argued that the criticism that HP filtering induces a spurious cycle in the series is unwarranted.

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Year of publication:	1999
Authors:	Kaiser, Regina ; Maravall, Agustín
Institutions:	Banco de España
Subject:	BUSINESS CYCLES \| ESTIMATOR \| ECONOMETRICS

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Series:	Banco de España Working Papers.
Type of publication:	Book / Working Paper
Notes:	41 pages
Classification:	C13 - Estimation ; C00 - Mathematical and Quantitative Methods. General ; E32 - Business Fluctuations; Cycles
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005155249