Inverting the Hodrick-Prescott Filter.

The Hodrick-Prescott (HP) filter is the most popular method of transforming data in the Real Business Cycle (RBC) literature. An algorithm to invert the Hodrick-Prescott (HP) filter is described. This algorithm is applied, using Markov chain Monte Carlo methods, to the problem of evaluating a simple RBC model. The problem of determining the optimal smoothing parameter for the HP filter is also studied. Copyright 2002 by Kluwer Academic Publishers

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Year of publication:	2002
Authors:	Landon-Lane, John
Published in:	Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 20.2002, 3, p. 117-38
Publisher:	Society for Computational Economics - SCE

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005809010