Re: [Gretl-devel] Hodrick-Prescott parameter
To use or not to use the HP filter is something that the user must
determine. In some cases,despite the drawbacks shown in these articles
it may be justified. And it is a fact that many applied macroeconomists
and official statisticians use it.
I know that there are some literature suggesting that to obtain a good
estimation of the trend one should use a data-dependent value for each
variable. But there are also opinions against this, based on the
necessity of comparability, for example between macroeconomic series of
different regions or countries.
The 'hpfilt' function we have in gretl has a fixed value for lambda, and
the defaults we have do not seem to be the better.
El 14/10/16 a las 15:49, Artur T. escribió:
I am not in favor of setting the default e.g. to the Ravn/Uhlig
values.
Some argue that a careful approach to extract the cyclical component
would even imply a variable-depended "lambda". This doesn't rule out
adding the references Ignacio listed to the manual -- which is always a
good thing. However, if I remember correctly, Eviews offers a different
options to the user
Just to add a note on this HP-thing: There is some critical literature
on the use of the HP-filter. Some recent ones are e.g.
1. Hamilton (2016): econweb.ucsd.edu/~jhamilto/hp.pdf
2. Phillips (2015):
cowles.yale.edu/sites/default/files/files/pub/d20/d2005.pdf
Btw, Hamilton suggests the use of a simple regression method to extract
the cyclical component for which I programmed a function package.
Artur
--
Ignacio Díaz-Emparanza
Departamento de Economía Aplicada III (Econometría y Estadística)
Universidad del País Vasco - Euskalherriko Unibertsitatea, UPV/EHU
Tfno: (+34) 94 601 3732
http://www.ehu.eus/ea3