When to Use the Hodrick-Prescott Filter
Explore the business cycle filters available in Econometrics Toolbox™ by comparing and contrasting approaches to business cycle analysis over decades of economic research. Filters discussed include the Hodrick-Prescott filter (hpfilter), the Baxter-King filter (bkfilter), the Christiano-Fitzgerald filter (cffilter), and the Hamilton filter (hfilter). Each is described in detail using real-world historical data available with Econometrics Toolbox. The discrete Fourier transform evaluates relative filter performance using a periodogram.
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