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Türkiye için Hodrick-Prescott Filtresi Düzgünleştirme Parametresi Tahmini ( Estimating Hodrick-Prescott Filter Smoothing Parameter for Turkey)
Central Bank of Turkey, Research Notes in Economics (2011)
  • Canan Yuksel
  • Harun Alp
  • Y. Soner Baskaya
  • Mustafa Kılınc
Abstract

In this note, the smoothing parameter for Hodrick-Prescott filter, which is used for analyzing business cycles, is estimated by two methods using Turkish real Gross Domestic Product data for 1987:1-2007:3 period. In additon, we compare the business cycle characteristics associated with optimally estimated smoothing parameter values with those associated with of 1600, which is frequently-used for quarterly data. The findings suggest that optimal choice of the smoothing parameter used in the HP filter is important since observed business cycle characteristics are sensitive to the parameter choice.

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Publication Date
2011
Citation Information
Canan Yuksel, Harun Alp, Y. Soner Baskaya and Mustafa Kılınc. "Türkiye için Hodrick-Prescott Filtresi Düzgünleştirme Parametresi Tahmini ( Estimating Hodrick-Prescott Filter Smoothing Parameter for Turkey)" Central Bank of Turkey, Research Notes in Economics (2011)
Available at: http://works.bepress.com/cyuksel/4/