The Econometrics of the Hodrick-Prescott Filter

In recent work, Neslihan Sakarya, who joined the Department of Economics in July 2017, analyses the statistical properties of a standard technique - the Hodrick-Prescott filter, in macroeconomics

  • Date

    Thu 16 Nov 17

Neslihan obtained her PhD from Ohio State University.

Her research is based on time series econometrics, particularly on the Hodrick-Prescott filter. She will teach Econometric Methods and Estimation and Inference in Econometrics this year.

Neslihan shows how this technique extracts the short-term movements in the data to isolate more clearly the longer-term trends, the policy- makers often care most about. She shows, however, that the technique is highly sensitive, and when used incorrectly can give the wrong idea of how an economy is performing.