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
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