On Adjusting the One‐Sided Hodrick–Prescott Filter
We show that one should not use the one‐sided Hodrick–Prescott (HP‐1s) filter as the real‐time version of the two‐sided HP (HP‐2s) filter: First, in terms of the extracted cyclical component, HP‐1s fails to remove low‐frequency fluctuations to the same extent as HP‐2s. Second, HP‐1s dampens fluctuat...
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| Veröffentlicht in: | Journal of money, credit and banking credit and banking, 2024-11 |
|---|---|
| Hauptverfasser: | , , |
| Format: | Artikel |
| Sprache: | eng |
| Online-Zugang: | Volltext |
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