A Property Of The Hodrick Prescott Filter And Its Application
Work
Year: 2020
Type: article
Abstract: This article explores a simple property of the Hodrick–Prescott (HP) filter: when the HP filter is applied to a series, the cyclical component is equal to the HP-filtered trend of the fourth differenc... more
Source: Econometric Theory
Authors Neslihan Sakarya, Robert M. de Jong
Institutions University of Essex, The Ohio State University
Cites: 22
Cited by: 17
Related to: 10
FWCI: 2.829
Citation percentile (by year/subfield): 91.52
Subfield: Finance
Domain: Social Sciences
Open Access status: green