When to Use the Hodrick-Prescott Filter

Explore the business cycle filters available in Econometrics Toolbox™ by comparing and contrasting approaches to business cycle analysis over decades of economic research. Filters discussed include the Hodrick-Prescott filter (hpfilter), the Baxter-King filter (bkfilter), the Christiano-Fitzgerald filter (cffilter), and the Hamilton filter (hfilter). Each is described in detail using real-world historical data available with Econometrics Toolbox. The discrete Fourier transform evaluates relative filter performance using a periodogram.

Download Code and Files:
Download the code from the video: https://bit.ly/3JmNtDK
When to Use the Hodrick-Prescott Filter: https://bit.ly/3L65bNg

Learn more about the Hodrick-Prescott Filter: https://bit.ly/42NgZtX
See example: Use Hodrick-Prescott Filter to Reproduce Original Result: https://bit.ly/3xlYGxB

0:00 Introduction
4:35 Filters & Data in Econometrics Toolbox
6:22 What is a Business Cycle?
13:50 The Hodrick-Prescott Filter
21:05 The Baxter-King Filter
30:08 The Christiano-Fitzgerald Filter
39:15 The One-Sided Hodrick-Prescott Filter
43:46 The Hamilton Filter
50:20 Evaluate Filter Performance
1:05:57 Conclusion
1:08:00 Summary
1:08:30 References
1:09:00 Documentation


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