Download This PaperA Big Joke by Hodrick and Prescott with Their Filters
4 Pages Posted: 21 Oct 2015
Date Written: October 21, 2015
Abstract
This paper proves that Hodrick and Prescott did not use their own HP filter. Instead they have applied De Forest’s moving average for forecasting. The so-called HP filter is full of errors. It tries to measure a non-existing data series, it can produce infinite possible results, it is a detrend method for testing random walk, not a smoothing method for forecasting, etc.
Keywords: Detrending, Smoothing
JEL Classification: C32, C53
Suggested Citation: Suggested Citation
Choi, Hak, A Big Joke by Hodrick and Prescott with Their Filters (October 21, 2015). Available at SSRN: https://ssrn.com/abstract=2677074 or http://dx.doi.org/10.2139/ssrn.2677074
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