The paper reconsiders the Hodrick-Prescott filter and the issue of a suitable choice of its smoothing parameter λ for quarterly data. To this end stochastic processes generate artificial data with a known growth trend and cyclical component, and a battery of Monte Carlo experiments tests what...

A recent article by J.D. Hamilton from 2018 attracted a great deal of attention, not only because of its telling title, "Why you should never use the Hodrick- Prescott filter", but also because it offered an alternative approach to detrending, the Hamilton regression filter (HRF). His...

The Hodrick-Prescott filter is a convenient and therefore widely and routinely applied detrending method in macroeconomics working with empirical data. However, James Hamilton has recently gained attention with his vigorous advice against it and a proposal of a better alternative. Before...