{"title":"Hodrick-Prescott过滤器,自动选择断点","authors":"Paolo Maranzano , Matteo Pelagatti","doi":"10.1016/j.econmod.2025.107132","DOIUrl":null,"url":null,"abstract":"<div><div>The Hodrick–Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 pandemic, and the war in Ukraine, that have had abrupt structural impacts on many economic time series. Moreover, new regulations and policy changes generally lead to similar behaviours. Thus, those events should be absorbed by the trend component of the trend-cycle decomposition, but the Hodrick–Prescott filter does not allow for breaks. We propose a modification of the Hodrick–Prescott filter that contemplates breaks and automatically selects the time points in which the breaks occur. We provide efficient implementation of the new filter in an R package. We use our new filter to assess what Italian labour market reforms impacted employment in different age groups.</div></div>","PeriodicalId":48419,"journal":{"name":"Economic Modelling","volume":"150 ","pages":"Article 107132"},"PeriodicalIF":4.2000,"publicationDate":"2025-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A Hodrick–Prescott filter with automatically selected breaks\",\"authors\":\"Paolo Maranzano , Matteo Pelagatti\",\"doi\":\"10.1016/j.econmod.2025.107132\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>The Hodrick–Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 pandemic, and the war in Ukraine, that have had abrupt structural impacts on many economic time series. Moreover, new regulations and policy changes generally lead to similar behaviours. Thus, those events should be absorbed by the trend component of the trend-cycle decomposition, but the Hodrick–Prescott filter does not allow for breaks. We propose a modification of the Hodrick–Prescott filter that contemplates breaks and automatically selects the time points in which the breaks occur. We provide efficient implementation of the new filter in an R package. We use our new filter to assess what Italian labour market reforms impacted employment in different age groups.</div></div>\",\"PeriodicalId\":48419,\"journal\":{\"name\":\"Economic Modelling\",\"volume\":\"150 \",\"pages\":\"Article 107132\"},\"PeriodicalIF\":4.2000,\"publicationDate\":\"2025-05-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Economic Modelling\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0264999325001270\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economic Modelling","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0264999325001270","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
A Hodrick–Prescott filter with automatically selected breaks
The Hodrick–Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 pandemic, and the war in Ukraine, that have had abrupt structural impacts on many economic time series. Moreover, new regulations and policy changes generally lead to similar behaviours. Thus, those events should be absorbed by the trend component of the trend-cycle decomposition, but the Hodrick–Prescott filter does not allow for breaks. We propose a modification of the Hodrick–Prescott filter that contemplates breaks and automatically selects the time points in which the breaks occur. We provide efficient implementation of the new filter in an R package. We use our new filter to assess what Italian labour market reforms impacted employment in different age groups.
期刊介绍:
Economic Modelling fills a major gap in the economics literature, providing a single source of both theoretical and applied papers on economic modelling. The journal prime objective is to provide an international review of the state-of-the-art in economic modelling. Economic Modelling publishes the complete versions of many large-scale models of industrially advanced economies which have been developed for policy analysis. Examples are the Bank of England Model and the US Federal Reserve Board Model which had hitherto been unpublished. As individual models are revised and updated, the journal publishes subsequent papers dealing with these revisions, so keeping its readers as up to date as possible.