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 >