@techreport{Winker2004Using,
abstract = {The Hodrick-Prescott (HP) filter has become a widely used tool for detrending
integrated time series in applied econometric analysis. Even though the
theoretical time series literature sums up an extensive catalogue of severe
criticism against an econometric analysis of HP filtered data, the original
Hodrick and Prescott (1980, 1997) suggestion to measure the strength of
association between (macro-)economic variables by a regression analysis of
corresponding HP filtered time series still appears to be popular. A contradictory
situation which might be justified only if HP induced distortions
were quantitatively negligible in empirical applications. However, this hypothesis
can hardly be maintained as the simulation results presented within
this paper indicate that HP filtered series give seriously rise to spurious regression
results.},
author = {Peter Winker and Mark Meyer},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C15; C22; 330; HP filter; spurious regression; detrending; Zeitreihenanalyse; Theorie},
language = {eng},
number = {2004,001E},
title = {Using HP Filtered Data for Econometric Analysis : Some Evidence from Monte Carlo Simulations},
type = {Discussion paper / Universit\"{a}t Erfurt, Staatswissenschaftliche Fakult\"{a}t},
url = {http://hdl.handle.net/10419/23936},
year = {2004}
}
