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This paper analyzes the transmission characteristics of the Hodrick-Prescott (HP) filter and frequency characteristics of exponential series, defines 3dB bandwidths of both the HP filter and exponential time series. Formulas of the 3dB bandwidths of the HP filter and exponential time series are derived. Thus, a method to determine the smoothing parameters of the HP filter by the series length is proposed...
In this paper the transmission characteristics of the Hodrick-Prescott (HP) filter and the frequency-domain characteristics of China's gross domestic product (GDP) time series are studied. An 3dB bandwidth of HP filter is defined and the effect of the smoothing parameters on the macroeconomic time series is analyzed. We propose that the trend components for more high-precision can be obtained by interpolation...
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