Are Hodrick-Prescott `forecasts' rational?
Are Hodrick-Prescott `forecasts' rational?
复制标题
霍德里克-普雷斯科特的“预测”合理吗？
DOI：
10.1007/s001810100107
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发表时间：
2002
影响因子：
3.2
通讯作者：
D. Smyth
中科院分区：
文献类型：
--
作者：
J. Ash;J. Easaw;S. Heravi;D. Smyth
我们使用长期的美国年度通胀数据来评估霍德里克-普雷斯科特 (HP) 过滤器作为理性预期代理的有用性。我们的结论是，虽然HP级数不是Muth（1961）意义上的完全理性，但它们总体上符合Grant和Thomas（1999）最近提出的“弱理性”标准。它们也是方向的理性代理预测器，因为按照默顿（Merton，1981）的说法，代理人不会将其先验改变为与这些“预测”相反的方向。然而，更平滑的HP“预测”更容易出现效率低下和不太有用的方向预测。
We evaluate the usefulness of the Hodrick-Prescott (HP) filter as a proxy for rational expectations, using long runs of annual US inflation data. Our conclusion is that while the HP series are not fully rational in the sense of Muth (1961), they do generally meet the criterion of `weak rationality' recently proposed by Grant and Thomas (1999). They are also rational proxy predictors of direction for, following Merton (1981), agents would not change their prior in the opposite direction to these `forecasts'. However, smoother HP `forecasts' are more prone to inefficiency and less useful predictors of direction.