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| Kristian Jönsson |
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| ''Extending the state-space representation of the judgement-augmented Hodrick-Prescott filter'' |
| ( 2018, Vol. 38 No.1 ) |
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| Introducing judgement, or restrictions, in the analytical form of the Hodrick-Prescott (HP) filter involves setting a parameter for how tightly the restrictions should hold. The current paper suggests an interpretation of this parameter and suggests a way to extend the state-space form of the judgement-augmented filter to include a corresponding parameter. The paper thereby bridges the remaining gap between the analytical form and the state-space form of the restricted HP filter. |
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| Keywords: HP-filter, Trend/cycle decomposition, Output gap, Judgement, State-space models |
JEL: C1 - Econometric and Statistical Methods: General
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| Manuscript Received : Aug 15 2017 | | Manuscript Accepted : Mar 23 2018 |
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