Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/104411 
Autor:innen: 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
Munich Discussion Paper No. 2014-1
Verlag: 
Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät, München
Zusammenfassung: 
The Hodrick-Prescott filter is the probably most popular tool for trend estimation in economics. Compared to other frequently used methods like the Baxter-King filter it allows to estimate the trend for the most recent periods of a time series. However, the Hodrick- Prescott filter suffers from an increasing excess variability at the margins of the series inducing a too flexible trend function at the margins compared to the middle. This paper will tackle this problem using spectral analysis and a flexible penalization. It will show that the excess variability can be reduced immensely by a flexible penalization, while the gain function for the middle of the time series is used as a measure to determine the degree of the flexible penalization.
Schlagwörter: 
Hodrick-Prescott filter
spectral analysis
trend estimation
gain function
flexible penalization
JEL: 
C22
C52
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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