The Hodrick–Prescott filter, the Slutzky effect, and the distortionary effect of filters
DOI: 10.1016/S0165-1889(99)00059-7
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摘要: Abstract I construct a metric based on optimal filtering for measuring the distortionary effect of business cycle filters. The filter depends both power transfer function and spectrum filtered time series. is used two purposes: First, to determine value smoothing parameter in Hodrick–Prescott (HP-filter). Secondly, measure size distortions ten different Slutzky special case more general pattern it shown that alleged HP-filter due an insufficient distinction between with ideal high-pass HP-filter.
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