Easaw, J. Z.; Heravi, S. M.; Ash, J. C. K.; Smyth, D. J. - In: Empirical Economics 27 (2002) 4, pp. 631-643
We evaluate the usefulness of the Hodrick-Prescott (HP) filter as a proxy for rational expectations, using long runs of annual US inflation data. Our conclusion is that while the HP series are not fully rational in the sense of Muth (1961), they do generally meet the criterion of `weak...
