Maravall and del Río (2001), analized the time aggregation properties of the Hodrick-Prescott (HP) filter, which decomposes a time series into trend and cycle, for the case of annual, quarterly, and monthly data, and showed that aggregation of the disaggregate component cannot be obtained as...

Filters used to estimate unobserved components in time series are often designed on a priori grounds, so as to capture the frequencies associated with the component. A limitation of these filters is that they may yield spurious results. The danger can be avoided if the so called ARIMA model...

The paper contains some implications for applied econometric research. Two important ones are, first, that invertible models, such as AR or VAR models, cannot in general be used to model seasonally adjusted or detrended data. The second one is that to look at the business cycle in detrended...

Hodrick-Prescott (HP) Filter of (most often, seasonally adjusted) quaterly series is analysed. Some of the criticism to the filter are adressed. It is seen that, while filtering strongly affects autocorrelations, it has little effect on crosscorrelations. It is argued that the criticism that HP...

The paper details an application of programs TRAMO and SEATS to seasonal adjustment and trend-cycle estimation. The series considered is the German Retail Trade Turnover series, for which, when adjusting with X12-ARIMA, the Bundesbank had identified two problems. One had to do with...

Present practice in applied time series work, mostly at economic policy or data producing agencies, relies heavily on using moving average filters to estimate unobserved components in time series, such as the seasonally adjusted series, the trend, or the cycle. The purpose of the present paper...

In this monograph, first, we analyze in detail some of the major limitations of the standard procedure to estimate business cycles with the Hodrick-Prescott (HP) filter. By incorporating time series analysis techniques, it is seen how some intuitive and relatively simple modifications to the...