1 edition of **Are Hodrick-Prescott Forecasts rational?** found in the catalog.

Are Hodrick-Prescott Forecasts rational?

- 209 Want to read
- 33 Currently reading

Published
**1999**
by University of Reading in Reading
.

Written in English

**Edition Notes**

Statement | by J.C.K. Ash, and others. |

Series | Discussion papers in Economics and Management -- no. 405 |

Contributions | Ash, J. C. K., University of Reading. Department of Economics. |

The Physical Object | |
---|---|

Pagination | 30p. ; |

Number of Pages | 30 |

ID Numbers | |

Open Library | OL18256587M |

I am not very familiar with filters. The Hodrick-Prescott filter as one can find it e.g. in wikipedia is two-sided. I also found an R implementation for this in the R package the filter is given as: find $(\tau_t)_{t=1}^T$ such that $$ \left(\sum_{t=1}^T (y_t - \tau_t)^2 + \lambda \sum_{t=2}^{T-1} (\tau_{t+1}-2 \tau_{t} + \tau_{t-1})^2\right) \rightarrow Min. $$. Hodrick Prescott Indicator is a Metatrader 4 (MT4) indicator and the essence of the forex indicator is to transform the accumulated history data. Hodrick Prescott Indicator provides for an opportunity to detect various peculiarities and patterns in price dynamics which are invisible to the naked eye.

The Hodrick-Prescott (HP) lter was not developed tobe appropriate, much less optimal, for speci c time series generating processes. Rather, apart from thepossiblechoiceofasingle“smoothnessparameter,”thesame lter is intended to be applied to all series. It is motivated through plau-sibility rather than optimality by: But I then need to (dynamically) forecast this Hodrick-Prescott smoothing/filter series (or something similar) over a forecast period; so I need an explicit expression that I can code up in the model in order to produce such a HP smoothed forecast.

Book Review of Substitution Effects, Speculation and Exchange Rate Stability by Patrick Minford. Journal of Money, Credit, and Bank (February ): “On the Monetary Analysis of Exchange Rates - A Comment,” in Karl Brunner and Allan H. Meltzer, eds., Carnegie-Rochester Conference Series on Public Policy, 11, supplement to. The column with positive and negative numbers measures the cyclical portion of GDP, that is, the deviation of GDP from its trend. Positive numbers mean that realized GDP is above trend; negative, that realized GDP is below trend. + means "GDP is above trend this period," means "GDP is below trend this period," in whatever units you're using.

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Are Hodrick-Prescott ‘Forecasts’ Rational. by J.C.K. Ash, a J.Z. Easaw, b S.M. Heravi c and D.J. Smyth b Abstract We examine the proposal that inflationary expectations might be proxied using the Hodrick-Prescott (HP) filter - specifically that the HP filter might stand as an ex post proxy for corresponding ex ante rational expectations.

Downloadable (with restrictions). 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 (), they do generally meet the criterion of `weak rationality' recently proposed by Grant and Thomas (). The Hodrick–Prescott filter (also known as Hodrick–Prescott decomposition) is a mathematical tool used in macroeconomics, especially in real business cycle theory, to remove the cyclical component of a time series from raw is used to obtain a smoothed-curve representation of a time series, one that is more sensitive to long-term than to short-term fluctuations.

Hello, i would like to calculate trend through Hodrick-Prescott Filter. i have next data : time Price David J. Smyth's research works with 1, citations and 1, reads, including: Monetary effects of a consumption tax.

This m-file finds the Hodrick-Prescott filtered series of any trendy time series; H-P is widely known in econometrics and can be used to analyse the trends and volatility of the series.

This version uses sparse matrices, this approach increases speed and performance and allows working with several time series s: 9. Are Hodrick-Prescott forecasts rational. Money growth, output gaps and inflation at low and high fre-quency: spectral estimates for Switzerland Assessment criteria for output gap estimates Jan Author: Kosei Fukuda.

Linear versus neural network forecasts for European industrial production series. International Journal of Forecasting 20(3), pp.

(/S(03)). Hodrick-Prescott is listed in the World's largest and most authoritative dictionary database of abbreviations and acronyms. Hodrick-Prescott - What does Hodrick-Prescott stand for.

The Free Dictionary. To analyze a moving trend, we use a Hodrick-Prescott (HP) filter. Vol Issue 4, November ISSN: A test for rational bubbles in stock prices.

Yuichi Fukuta Pages Article. Estimation of an effectively globally regular demand system: An application to United States meat consumption Are Hodrick-Prescott `forecasts' rational. Ash, J. Easaw, S. Heravi, D. The Hodrick-Prescott filter divorces the extended trend within the data series from any shorter-term oscillations and has been calculated using the following expression: Dissecting the Trend - Procyclicality of Retail Bank Deposits: A New Tool for Managers.

Hodrick-Prescott Filter in Practice Almost twenty years after its first presentation in the literature, Hodrick- Prescott (HP)1filter is still the favourite empirical technique among researchers who attempt to separate cyclicalbehaviour from the long run path of economic series.

most interest in economics is the Hodrick-Prescott lter (Hodrick, R. and Prescott, E.()). The HP lter has, for a long period, been central for business cycle re-search; seeKing, R.

and Rebelo, S. T.() survey paper. Despite its widespread I thank Karim Abadir for suggesting me this topic and for his helpful comments. I also thankFile Size: KB. Predicting stock market price is considered as a challenging task of financial time series analysis, which is of great interest to stock investors, stock traders and applied researchers.

Many machine learning techniques have been used in this area to predict the stock market price, including regression algorithms which can be useful tools to provide good performance of financial time series Cited by: 8. HP-Filter This online tool allows to determine the trend of a single macroeconomic series using the Hodrick-Prescott filter.

For any comments on this web interface, please contact Christian more on the Hodrick-Prescott filter, in particular on how to use in your favorite software, consult the QM&RBC codes page.

"Are Hodrick-Prescott `forecasts' rational?," Empirical Economics, Springer, vol. 27(4), pages Full references (including those not matched with items on IDEAS). 2tsﬁlter hp— Hodrick–Prescott time-series ﬁlter Options Main smooth(#) sets the smoothing parameter for the Hodrick–Prescott ﬁlter.

By default if the units of the time variable are set to daily, weekly, monthly, quarterly, half-yearly, or yearly, then the Ravn–Uhlig. Hodrick-Prescott Filter (HP-Filter) Author: Kurt Annen Description: Compute Hodrick-Prescott filtered time series very fast Last modified by: Kurt Annen Created Date: 5/14/ AM Other titles: Tabelle1.

For hard-to-understand reasons, some economists use the Hodrick-Prescott Filter (the "HP Filter") as a low-pass filter. Unfortunately, the HP Filter violates several principles of filter design.

The Hodrick–Prescott filter represents one of the most popular methods for trend–cycle extraction in macroeconomic time series. In this paper we provide a multivariate generalization of the Hodrick–Prescott filter, based on the seemingly unrelated time series approach.

We first derive closed-form expressions linking the signal–noise Cited by: 4. Next, the charcteristics of two detrending methods, Hodrick-Prescott and Baxter-King –lters are revised. Hodrick-Prescott Filter The Hodrick-Prescott () –lter is an ad hoc –xed, 2- sided MA –lter which is constructed using penalty-function method.

This –lter optimally extracts the stochastic trend (unit root), moving smoothly File Size: KB.Combining Hodrick-Prescott Filtering with a Production Function Approach to Estimate Output Gap Marta Areosay Abstract This Working Paper should not be reported as representing the views of the Banco Central do Brasil.

The views expressed in the paper are those of the authors and do not necessarily re⁄ect those of the Banco Central do by: 7. Dear All, I'm looking into different ways of applying the Hodrick-Prescott Filter and I'm getting different results between the procedures below.

I have not been able to understand these differences based on the online documentation and was hoping you .