Maranzano, Paolo; Pelagatti, Matteo - 2024
The Hodrick-Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a … regulations and policy changes generally lead to similar behaviours. Thus, those events should be absorbed by the trend component … of the trend-cycle decomposition, but the Hodrick-Prescott filter does not allow for jumps. We propose a modification of …