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2020 | 12 | nr 3 | 251--272
Tytuł artykułu

Real-Time vs. Full-Sample Performance of One-Sided and Two-Sided HP Filters. An Application to 27 EU Member States' GDP Data

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The paper makes a comparison of the results of the application of two-sided and one-sided versions of the Hodrick-Prescott filter on GDP data concerning 27 EU Member States. Based on the results, the overall finding is that, contrary to its assumed advantages, the one-sided filter does not help overcome endpoint unbiasedness. Quite the opposite, it rather spreads and consolidates the endpoint bias that plagues the two-sided version over the entire filtered data. In addition, regression-based results on the influence of the second, third, and fourth moments of the GDP acceleration rates on the differences between onesided and two-sided HP trends are presented. (original abstract)
Opis fizyczny
  • Sofia University "St. Kliment Ohridski"
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