Working Papers N° 959: The Holt-Winters filter and the one-sided HP filter: A close correspondence
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Working Papers N° 959: The Holt-Winters filter and the one-sided HP filter: A close correspondence
Autor: Rodrigo Alfaro , Mathias Drehmann
Description
We show that the trend of the one-sided HP filter can be asymptotically approximated by the Holt-Winters (HW) filter. The later is an elegant, moving average representation and facilitates the computation of trends tremendously. We confirm the accuracy of this approximation empirically by comparing the one-sided HP filter with the HW filter for generating credit-to-GDP gaps. We find negligible differences, most of them concentrated at the beginning of the sample.
Working Papers N° 959: The Holt-Winters filter and the one-sided HP filter: A close correspondence
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