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, A. ; del Rio, A.
Subject:	TIME SERIES \| ESTIMATORS \| BUSINESS CYCLES

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Type of publication:	Book / Working Paper
Notes:	45 pages
Classification:	C43 - Index Numbers and Aggregation ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005657336