The Hodrick-Prescott Filter at Time Series Endpoints

University of Nottingham Economics Discussion Paper No. 03/08

23 Pages Posted: 31 Aug 2003

See all articles by Emi Mise

Emi Mise

University of Leicester - Department of Economics

Tae-Hwan Kim

University of Nottingham - School of Economics; Yonsei University - Seoul Campus - College of Business and Economics

Paul Newbold

University of Nottingham - School of Economics

Date Written: May 2003

Abstract

The Hodrick-Prescott filter is often applied to economic series as part of the study of business cycles. Its properties have most frequently been explored through the development of essentially asymptotic results which are practically relevant only some distance from series endpoints. Our concern here is with the most recent observations, as policy-makers will often require an assessment of whether, and by how much, an economic variable is "above trend". We show that if such an issue is important, an easily implemented adjustment to the filter is desirable.

Suggested Citation

Mise, Emi and Kim, Tae-Hwan and Newbold, Paul, The Hodrick-Prescott Filter at Time Series Endpoints (May 2003). University of Nottingham Economics Discussion Paper No. 03/08, Available at SSRN: https://ssrn.com/abstract=422563 or http://dx.doi.org/10.2139/ssrn.422563

Emi Mise (Contact Author)

University of Leicester - Department of Economics ( email )

Ken Edwards Building
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Tae-Hwan Kim

University of Nottingham - School of Economics ( email )

University Park
Nottingham, NG7 2RD
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+44 115 951 5620 (Phone)
+44 115 951 4159 (Fax)

Yonsei University - Seoul Campus - College of Business and Economics ( email )

Yonsei University
Seoul
Korea

Paul Newbold

University of Nottingham - School of Economics ( email )

University Park
Nottingham, NG7 2RD
United Kingdom