Re: [Gretl-devel] Hodrick-Prescott parameter
Am 14.10.2016 um 15:22 schrieb Logan Kelly:
Regardless of what the default values are in gretl's hp setup,
this
discussion would be great to include in the user's guide and help for hp
functionality. Especially, the citations. Thanks for bringing these
papers to my attention.
Yes thanks Ignacio, I wasn't aware of the REStat 2016 paper (and haven't
read it yet).
But with respect to a longer discussion of HP in the guide I'm not so
sure, this could get quite fundamental. For example, here are some other
recent interesting (and critical) papers:
- Phillips, Peter C.B., and Sainan Jin. 2015. “Business Cycles, Trend
Elimination, and the HP Filter,” Cowles Foundation Discussion Paper No.
2005, Yale University.
- James D. Hamilton 2016. "Why You Should Never Use the Hodrick-Prescott
Filter", http://econweb.ucsd.edu/~jhamilto/hp.pdf
But I'm not at all against "aligning" the default smoothing values based
on some common criterion (where the criterion value would be arbitrary I
guess and would simply imply the convention of 1440 for quarterly data).
cheers,
sven