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.
References in periodicals archive ?
However, it is only slightly above the HP filter moving average value, and it falls within the standard deviation bands of the HP filter.
Tenders are invited for Replacement Of 10 Hp Filter Motor With Blower Assembly In Pap
2013, 2014) analyse the real-time performance of the HP filter and show that in the US, the UK and Spain, univariate filter estimates had large upward bias before the recent crisis, which was revealed only after the crisis.
t] is the deviation of actual inflation from potential inflation measured with HP filter and [[?
The HP filter tends to follow the data too closely, because it is a symmetric filter.
The HP filter removes low-frequency fluctuations in the time series, for the purpose of isolating business cycle fluctuations.
The theoretical part of the HP filter is connected with the real business cycle (RBC) literature.
For the HP filter we use the standard [lambda]=1,600 value for quarterly data.
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.
The HP filter is a method for finding the value of potential output [yt.
In Figure 3, the trend of the price index is estimated by the HP filter and a nineteen-quarter moving average filter.