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.
"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.