Why Does the Trend Extracted by the Hodrick-Prescott Filtering Seem to be More Plausible Than the Linear Trend?
Why Does the Trend Extracted by the Hodrick-Prescott Filtering Seem to be More Plausible Than the Linear Trend?
复制标题
为什么 Hodrick-Prescott 过滤提取的趋势似乎比线性趋势更合理？
DOI：
10.1080/13504851.2017.1299095
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发表时间：
2018
影响因子：
1.6
通讯作者：
H.
中科院分区：
文献类型：
--
作者：
Yamada;H.
为什么由霍德里克-普雷斯科特(HP)过滤提取的趋势(HP趋势)似乎比OLS估计的线性趋势更可信？这篇文章给出了一个答案。由于HP滤波是一种基本的计量经济学工具，因此有必要对其性质有一个准确的理解。本文的结论是，通过将线性去趋势序列的低频分量(长期周期波动)与线性趋势相加来计算HP趋势，从而导致HP趋势似乎比线性趋势更可信。除了这一关键结果外，本文还表明，定义为HP滤波残差的HP周期可以解释为线性去趋势序列的高频分量(短期周期波动)。文中还给出了一个实证例证。
Why does the trend extracted by the Hodrick–Prescott (HP) filtering (HP trend) seem to be more plausible than the linear trend estimated by OLS? This article provides an answer for it. Because the HP filtering is a basic econometric tool, it is necessary to have a precise understanding of the nature of it. This article concludes that the HP trend is calculated by adding the low-frequency component (the long-term periodic fluctuation) of the linearly detrended series to the linear trend, which leads to that the HP trend seems to be more plausible than the linear trend. Other than this key result, this article shows that the HP cycle, which is defined as the residuals of the HP filtering, can be interpreted as the high-frequency component (the short-term periodic fluctuation) of the linearly detrended series. An empirical illustration is also provided.