Title of article :
Distortionary effects of the optimal Hodrick–Prescott filter
Author/Authors :
Jürgen Ehlgen، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 1998
Pages :
5
From page :
345
To page :
349
Abstract :
Several studies have demonstrated that the application of the Hodrick–Prescott filter leads to distortions if the conditions for optimality are not satisfied. It is shown in this paper that the distortions arise even if the filter is optimal
Keywords :
Time series models , Business fluctuations
Journal title :
Economics Letters
Serial Year :
1998
Journal title :
Economics Letters
Record number :
434686
Link To Document :
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