Distortionary effects of the optimal Hodrick-Prescott filter

Economics Letters

Volumn 61, Issue 3, 1998, Pages 345-349

  Ehlgen, Jürgen ^a  

^a UNIVERSITY OF SIEGEN   (Germany)

Author keywords

Business fluctuations; C22; E32; Time series models

Indexed keywords

EID: 0032329016     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1765(98)00190-6     Document Type: Article

References (6)

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2. Cogley T., Nason J.M. Effects of the Hodrick-Prescott filter on trend and difference stationary time series. Implications for business cycle research. Journal of Economic Dynamics and Control. 19:1995;253-278.
3. Grether D.M., Nerlove M. Some properties of 'optimal' seasonal adjustment. Econometrica. 39:1970;682-703.
4. Hodrick R.J., Prescott E.C. Post-war U.S. business cycles: an empirical investigation. Journal of Money, Credit, and Banking. 29:1997;1-16.
5. King R.G., Rebelo S.T. Low frequency filtering and real business cycles. Journal of Economic Dynamics and Control. 17:1993;207-232.
6. Whittle, P., 1983. Prediction and Regulation by Linear Least-square Methods, 2nd revised ed. University of Minnesota Press, Minneapolis.