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Hodrick-Prescott Filter |
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Hodrick-Prescott Filter A mathematical technique used to smooth the non-linear data points in a time series. The HP filter helps analysts better determine trends. It is used most often to smooth out indices of macroeconomic data, such as the Help Wanted Index. Want to thank TFD for its existence? Tell a friend about us, add a link to this page, add the site to iGoogle, or visit the webmaster's page for free fun content. |
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No references found | 4) Therefore, although standard multivariate filters address and hence improve upon--the criticism regarding both the HP filter and other univariate statistical procedures, there may be room for improvement if one can relax the typical restriction that system parameters stay constant over time. They conclude that the use of production function approach performs better than HP filter or growth rate approaches. 2001) and Mohr (2003) argue that the linear nature of the HP filter ensures theoretical consistency among variables, as the weighted sum of disaggregated HP-filtered gaps equals the aggregate gap. |
HP filter |
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