Quantile regression version of Hodrick–Prescott filter

Hodrick–Prescott (HP) filter is a popular trend filtering method for univariate macroeconomic time series such as real gross domestic product. This paper considers the quantile regression version of HP filter (qHP filter), which is a filtering method defined by replacing quadratic loss function of H...

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Bibliographic Details
Published in:Empirical economics 2023-04, Vol.64 (4), p.1631-1645
Main Author: Yamada, Hiroshi
Format: Article
Language:English
Subjects:
Econometrics
Economic theory
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Economics and Finance
Finance
GDP
Gross Domestic Product
Insurance
Management
Statistics for Business
Time series
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Summary:Hodrick–Prescott (HP) filter is a popular trend filtering method for univariate macroeconomic time series such as real gross domestic product. This paper considers the quantile regression version of HP filter (qHP filter), which is a filtering method defined by replacing quadratic loss function of HP filter with quantile regression loss function. One of the essential properties of quantile regression is that if the regression includes intercept, then the ratio of negative residuals can be almost controlled. Does the suggested qHP filter also have the property? This paper answers this question. In addition to the main result, we provide an empirical illustration.
ISSN:0377-7332
1435-8921
DOI:10.1007/s00181-022-02292-8