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 ?
With the exception of the returns data, the underlying data have been detrended by taking the logarithm and applying the Hodrick-Prescott filter with a smoothing parameter of 1,600.
The Swiss use a Hodrick-Prescott filter (1) to calculate the trend real output.
The data series are then seasonally adjusted using the X-12 census method and the cyclical components are extracted using the Hodrick-Prescott filter.
As seen above one of the purely statistical methods is filtering using the Hodrick-Prescott filter.
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.
We examine three examples of this approach: the Hodrick-Prescott filter, the band-pass filter, and the Beveridge-Nelson decomposition.
But, we engaged one of the widely used univariate methods in recent year, which was the so-called Hodrick-Prescott filter (Hodrick and Prescott, 1980).
However, the trend or longer-run component of the Hodrick-Prescott filter inherits the nonstationarity of the original series and is therefore not suitable for our purposes.
1995: Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research.
This panel data by states estimation corroborates the results of the analysis of the cyclical component estimated by applying the Hodrick-Prescott filter to remittances and GDP at the national level.
Using home data of 138 CBSAs from February 2000 to April 2011, a period of over eleven years, monthly adjustment factors for these CBSAs are generated using a standard Hodrick-Prescott filter system.