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Kristian Jönsson
''Extending the state-space representation of the judgement-augmented Hodrick-Prescott filter''
( 2018, Vol. 38 No.1 )
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.
Keywords: HP-filter, Trend/cycle decomposition, Output gap, Judgement, State-space models
JEL: C1 - Econometric and Statistical Methods: General
Manuscript Received : Aug 15 2017 Manuscript Accepted : Mar 23 2018

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