THE HODRICK-PRESCOTT FILTER AT TIME SERIESENDPOINTS

The Hodrick-Prescott …lter is often applied to economic series as part of thestudy of business cycles. Its properties have most frequently been exploredthrough the development of essentially asymptotic results which are practicallyrelevant only some distance from series endpoints. Our concern hereis with the most recent observations, as policy-makers will often require anassessment of whether, and by how much, an economic variable is “abovetrend.” We show that if such an issue is important, an easily implementedadjustment to the …lter is desirable.