In this paper, we first review the Spanish Quarterly National Accounts (Sqna) trend-cycle filter and give a formula to compute the first component of the filter that corrects an error in the expression that has been used in the Sqna System so far. Then, the results obtained with this last filter...

Hodrick-Prescott (HP) filtering of (most often, seasonally adjusted) quarterly series is analysed. Some of the criticism to the filter are adressed. It is seen that, while filtering strongly affects autocorrelations, it has little effect on crosscorrelations. It is argued that the criticism that...