Time Aggregation and the Hodrick-Prescott Filter

The time aggregation properties of the Hodrick-Prescott (HP) filter to decompose a time series into trend and cycle are analized for the case of annual, quarterly, and monthly data. It is seen that aggregation of the disagreggate component estimators cannot be obtained as the exact result from applying an HP filter to the aggregate series (and viceversa).

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Year of publication:	2001
Authors:	Maravall, Agustín ; Río, Ana del
Institutions:	Banco de España
Subject:	time series \| estimators \| business cycles

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Extent:	application/pdf
Series:	Banco de España Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0108 44 pages
Classification:	C43 - Index Numbers and Aggregation ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005155301