The Explicit Formula for the Hodrick-Prescott Filter in Finite Sample

TY - JOUR

T1 - The Explicit Formula for the Hodrick-Prescott Filter in Finite Sample

AU - Cornea-Madeira, Adriana

N1 - © by the President and Fellows of Harvard College and the Massachusetts Institute of Technology. Embargo period: 12 months. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.

PY - 2017/5/2

Y1 - 2017/5/2

N2 - We derive the exact expression for the weights of the Hodrick-Prescott (HP)filter in finite sample without making any assumptions about the statisticalproperties of the time series. We use the results to give insights about theproperties of the HP filter and to build a fast algorithm with computationalimprovements by a factor of up to three times in samples typical in economics.

AB - We derive the exact expression for the weights of the Hodrick-Prescott (HP)filter in finite sample without making any assumptions about the statisticalproperties of the time series. We use the results to give insights about theproperties of the HP filter and to build a fast algorithm with computationalimprovements by a factor of up to three times in samples typical in economics.

KW - trend component; cyclical component; smoothing parameter; Sherman-Morrison.

UR - http://www.scopus.com/inward/record.url?scp=85018731195&partnerID=8YFLogxK

U2 - 10.1162/REST_a_00594

DO - 10.1162/REST_a_00594

M3 - Article

SN - 0034-6535

VL - 99

SP - 314

EP - 318

JO - Review of economics and statistics

JF - Review of economics and statistics

IS - 2

ER -