r-filters: a Hodrick-Prescott Filter Generalization

A two-parameter family of filters is proposed in which the HP filter is considered as the lowest order member. While the HP filter converges to linear time trend as the smoothing factor grows, the higher order members of the proposed family converge to higher order polynomial time trends. The filter order - the new parameter introduced - allows to set the filter selectivity. Furthermore, two different methods to implement these filters are presented.

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Year of publication:	2003-02
Authors:	Araujo, Fabio ; Areosa, Marta Baltar Moreira ; Neto, José Alvaro Rodrigues
Institutions:	Central Bank of Brazil, Research Department

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Extent:	application/pdf
Series:	Working Papers Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 69
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005770985