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Inverting the Hodrick-Prescott Filter

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  • Landon-Lane, John

Abstract

The Hodrick-Prescott (HP) filter is the most popular method of transforming data in the Real Business Cycle (RBC) literature. An algorithm to invert the Hodrick-Prescott (HP) filter is described. This algorithm is applied, using Markov chain Monte Carlo methods, to the problem of evaluating a simple RBC model. The problem of determining the optimal smoothing parameter for the HP filter is also studied. Copyright 2002 by Kluwer Academic Publishers

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  • Landon-Lane, John, 2002. "Inverting the Hodrick-Prescott Filter," Computational Economics, Springer;Society for Computational Economics, vol. 20(3), pages 117-138, December.
    • Handle: RePEc:kap:compec:v:20:y:2002:i:3:p:117-38
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    Cited by:

    1. Adrian Pagan & Tim Robinson, 2011. "Assessing Some Models of the Impact of Financial Stress upon Business Cycles," RBA Research Discussion Papers rdp2011-04, Reserve Bank of Australia.

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