Construct · 1 fields · 1 citations

Hodrick-Prescott filter: a standalone construct

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Econometrics

a smoothing method that separates a series into trend and cycle by penalizing changes in the trend's growth.

In econometrics, Hodrick-Prescott filter refers to a smoothing method that separates a series into trend and cycle by penalizing changes in the trend's growth. This meaning comes from Hodrick (1997) in Journal of Money, Credit and Banking.[1]

Unit
Recovery means
Measured by

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Nearby constructs

credit2 fields · 2 citationsjingle · one word, two constructs cycle4 fields · 4 citationsjingle · one word, four constructs filter3 fields · 3 citationsjingle · one word, three constructs

References

Hodrick, R. J., & Prescott, E. C. (1997). Postwar U.S. Business Cycles: An Empirical Investigation. Journal of Money, Credit and Banking, 29(1), 1. https://doi.org/10.2307/2953682

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