Marcet, Albert; Ravn, Morten O. - Barcelona Graduate School of Economics (Barcelona GSE) - 2003
Many empirical studies have applied the Hodrick-Prescott fllter in cross- country comparisons of business cycle fluctuations. The Hodrick-Prescott filter involves the smoothing parameter, and standard practise in the literature is to set this parameter equal to 1600 (in quarterly data) for all...