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 ?

Second, we applied the Hodrick-Prescott filter approach to separate the trend and cyclical components of each series.

A look back at a luck-filled career

"The Econometrics of the Hodrick-Prescott Filter." Review of Economics and Statistics, May 2016, 98(2), pp.

Comparing Measures of Potential Output

(6) The Hodrick-Prescott filter is a statistical technique that removes a smooth trend from a time series.

Seasonal and business cycles of U.S. employment

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.

United States of America, European economy and inequality: a perspective from the economic history, 1910-20101

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:

Dissecting the Trend - Procyclicality of Retail Bank Deposits: A New Tool for Managers

The Swiss use a Hodrick-Prescott filter (1) to calculate the trend real output.

Swedish and Swiss fiscal-rule outcomes contain key lessons for the United States

(6.) The Hodrick-Prescott filter is the standard method for removing trends in the business cycle literature (Ravn and Uhlig 2002).

Fiscal cyclically in Brunei Darussalam

As seen above one of the purely statistical methods is filtering using the Hodrick-Prescott filter. According to Flek et al.

Decomposition of unemployment: the case of the Visegrad group countries

H-P = Hodrick-Prescott filter. CRSP = The Center for Research in Security Prices.

Stock market returns and suicide rates: evidence from the United States

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.

The relationship between local economic conditions and acute myocardial infarction hospital utilization by adults and seniors in the United States, 1995-2011

Estimation of the Business Cycle: A modified Hodrick-Prescott Filter, Spanish Economic Review, 1: 175-209.

CICLOS, CRECIMIENTO ECONOMICO Y CRISIS EN MEXICO, 1980.1-2013.4

We examine three examples of this approach: the Hodrick-Prescott filter, the band-pass filter, and the Beveridge-Nelson decomposition.