In his article, Hamilton (2017) conveyed a critique of the Hodrick-Prescott (HP) filter, arguing against its utilization due to several inherent issues. He emphasizes that the filter’s sensitivity to the smoothing parameter selection, its tendency to generate misleading cycles, and its failure to accurately represent the actual underlying trend are significant drawbacks. While I partiallyContinue reading “A Comment on Why You Should Never Use the Hodrick-Prescott Filter”
Tag Archives: analysis
Revisiting Inflation Forecasts Using the ARMA
The autoregressive moving average (ARMA) is a common technique in time series analysis. In my view, a time series example that can be suitable with the ARMA model but need to be revisited is inflation. The model commonly used in inflation data modeling might associate with the relatedness of the variable with its past values.Continue reading “Revisiting Inflation Forecasts Using the ARMA”
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