The Hodrick-Prescott Filter, a Generalization, and a New Procedure for Extracting an Empirical Cycle from a Series

Reeves, Jonathan J.; Blyth, Conrad A.; Triggs, Christopher M.; Small, John P.

dc.contributor.author	Reeves, Jonathan J.	en
dc.contributor.author	Blyth, Conrad A.	en
dc.contributor.author	Triggs, Christopher M.	en
dc.contributor.author	Small, John P.	en
dc.date.accessioned	2009-06-25T00:27:41Z	en
dc.date.available	2009-06-25T00:27:41Z	en
dc.date.issued	2000	en
dc.identifier.citation	Studies in Nonlinear Dynamics & Econometrics 4(1), 1-16. 2000	en
dc.identifier.issn	1558-3708	en
dc.identifier.uri	http://hdl.handle.net/2292/4449	en
dc.description	An open access copy of this article is available and complies with the copyright holder/publisher conditions.	en
dc.description.abstract	This paper proposes a novel derivation of the Hodrick-Prescott (HP) minimization problem which leads to a generalization of the Hodrick-Prescott filter. The main result is the development of a new filter to extract a localized maximum-likelihood estimate of the cycle from a series. This new filter, the multivariate normal cyclical (MNC) filter, makes only a general assumption about the cyclical nature of the series. The output from this filtering procedure is from a nonlinear optimization routine.	en
dc.publisher	Berkeley Electronic Press	en
dc.relation.ispartofseries	Studies in Nonlinear Dynamics & Econometrics	en
dc.rights	Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. Details obtained from http://www.sherpa.ac.uk/romeo/issn/1558-3708/	en
dc.rights.uri	https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm	en
dc.source.uri	http://dx.doi.org/10.2202/1558-3708.1052	en
dc.title	The Hodrick-Prescott Filter, a Generalization, and a New Procedure for Extracting an Empirical Cycle from a Series	en
dc.type	Journal Article	en
dc.subject.marsden	Fields of Research::340000 Economics	en
dc.identifier.doi	10.2202/1558-3708.1052	en
pubs.issue	1	en
pubs.begin-page	1-16	en
pubs.volume	4	en
dc.description.version	VoR - Version of Record	en
dc.rights.holder	Copyright: The Berkeley Electronic Press	en
dc.rights.accessrights	http://purl.org/eprint/accessRights/OpenAccess	en