Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/295067 
Autor:innen: 
Erscheinungsjahr: 
2024
Quellenangabe: 
[Journal:] Journal of Comments and Replications in Economics (JCRE) [ISSN:] 2749-988X [Volume:] 3 [Issue:] 2024-1 [Year:] 2024 [Pages:] 1-17
Verlag: 
ZBW - Leibniz Information Centre for Economics, Kiel, Hamburg
Zusammenfassung: 
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.
Schlagwörter: 
HP Filter
Hamilton Filter
Business Cycles
Detrending
Filtering
Comment
JEL: 
B41
C22
E32
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe
265.85 kB





Publikationen in EconStor sind urheberrechtlich geschützt.