On suboptimality of the Hodrick-Prescott filter at time series endpoints

Emi Mise, Tae Hwan Kim, Paul Newbold

Research output: Contribution to journalArticlepeer-review

96 Citations (Scopus)


The Hodrick-Prescott filter is often applied to economic series as part of the study of business cycles. Its properties have most frequently been explored through the development of essentially asymptotic results which are practically relevant only some distance from series endpoints. Our concern here is with the most recent observations, as policy-makers will often require an assessment of whether, and by how much, an economic variable is "above trend". We show that if such an issue is important, an easily implemented adjustment to the filter is desirable.

Original languageEnglish
Pages (from-to)53-67
Number of pages15
JournalJournal of Macroeconomics
Issue number1
Publication statusPublished - 2005 Mar

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics


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