Second, we applied the Hodrick-Prescott filter
approach to separate the trend and cyclical components of each series.
"The Econometrics of the Hodrick-Prescott Filter
." Review of Economics and Statistics, May 2016, 98(2), pp.
(6) The Hodrick-Prescott filter
is a statistical technique that removes a smooth trend from a time series.
For the series "Contribution of the wealthiest 10% to US national income (1910-2010)", we used Piketty's database (http://piketty.pse.ens.fr/fr/), applying the Hodrick-Prescott filter
to obtain the trend.
The Hodrick-Prescott filter
divorces the extended trend within the data series from any shorter-term oscillations and has been calculated using the following expression:
The Swiss use a Hodrick-Prescott filter
(1) to calculate the trend real output.
(6.) The Hodrick-Prescott filter
is the standard method for removing trends in the business cycle literature (Ravn and Uhlig 2002).
As seen above one of the purely statistical methods is filtering using the Hodrick-Prescott filter
. According to Flek et al.
H-P = Hodrick-Prescott filter
. CRSP = The Center for Research in Security Prices.
To implement this approach, we filtered unemployment using the Hodrick-Prescott filter
(Hodrick and Prescott 1997) (HP filter), as suggested by Ionides, Wang, and Tapia Granados (2012), as well as other applied techniques suggested as alternatives.
Estimation of the Business Cycle: A modified Hodrick-Prescott Filter
, Spanish Economic Review, 1: 175-209.
We examine three examples of this approach: the Hodrick-Prescott filter
, the band-pass filter, and the Beveridge-Nelson decomposition.