Why You Should Never Use the Hodrick-Prescott Filter
收藏NBER2017-05-01 更新2025-01-04 收录
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https://www.nber.org/papers/w23429
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Here's why. (1) The HP filter produces series with spurious dynamic relations that have no basis in the underlying data-generating process. (2) Filtered values at the end of the sample are very different from those in the middle, and are also characterized by spurious dynamics. (3) A statistical
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美国国家经济研究局创建时间：
2017-05-01
