Revisiting the Hodrick-Prescott Filter: A New Perception of the Minimization Problem

Authors

  • Anna Sess Adiabouah Department of Economics, University Felix Houphouët-Boigny, Abidjan, Côte d’Ivoire

Keywords:

Economic cycle, Hodrick-Prescott Filter, Smoothing parameter, Turning points

Abstract

When we revisit how reflect the objective of reducing the effects of the growth rates fluctuation in the Hodrick-Prescott filter, we minimize the gap between the value of the trend at time t and a third order average around that value. The paper assesses that the obtained modified Hodrick-Prescott filter better takes into account the structure of the series and gives a stronger estimate of the turning points.

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Published

2020-02-22

How to Cite

Adiabouah, A. S. . (2020). Revisiting the Hodrick-Prescott Filter: A New Perception of the Minimization Problem. American Scientific Research Journal for Engineering, Technology, and Sciences, 64(1), 179–186. Retrieved from https://www.asrjetsjournal.org/index.php/American_Scientific_Journal/article/view/5606

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