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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:

- When to Use the Hodrick-Prescott Filter:

- Learn more: Hodrick-Prescott Filter:

- See example: Use Hodrick-Prescott Filter to Reproduce Original Result:

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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