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.

Return to Capital in a Real Business Cycle Model

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 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

The data series are then seasonally adjusted using the X-12 census method and the cyclical components are extracted using the Hodrick-Prescott filter.

Fiscal cyclically in Brunei Darussalam

As seen above one of the purely statistical methods is filtering using the Hodrick-Prescott filter.

Decomposition of unemployment: the case of the Visegrad group countries

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

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

Are underwriting cycles real and forecastable?

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).

Measuring and decomposing output gap: a production function approach of the USA and EU-27 countries

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.

Money, output, and inflation in the longer term: major industrial countries, 1880-2001

1995: Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research.

Crises and joint employment-productivity dynamics: a comparative perspective for European countries

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.

Are remittances a stabilizing factor in the Mexican economy?

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.