Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/295067 
Authors: 
Year of Publication: 
2024
Citation: 
[Journal:] Journal of Comments and Replications in Economics (JCRE) [ISSN:] 2749-988X [Volume:] 3 [Issue:] 2024-1 [Year:] 2024 [Pages:] 1-17
Publisher: 
ZBW - Leibniz Information Centre for Economics, Kiel, Hamburg
Abstract: 
Hamilton (2018) argues that one should never use the Hodrick-Prescott (HP) filter to detrend economic time series and proposes an alternative approach. This comment reconsiders Hamilton's case against the HP filter, emphasizing two simple points. First, in the empirical example Hamilton considers, the HP and Hamilton filters yield cyclical estimates with very similar dynamic properties, questioning the notion that one decomposition outperforms the other. Second, there is a mechanical lag in the Hamilton trend, which might cast doubt on the economic plausibility of the trend-cycle decomposition. It follows that the Hamilton filter might not constitute a systematically better alternative to the HP filter.
Subjects: 
HP Filter
Hamilton Filter
Business Cycles
Detrending
Filtering
Comment
JEL: 
B41
C22
E32
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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