r-filters: a Hodrick-Prescott Filter Generalization
Fábio Meneghetti Ugulino de Araújo, Marta Areosa, Jose Alvaro Rodrigues-Neto · RePEc: Research Papers in Economics · 2003
A two-parameter family of filters is proposed in which the HP filter is considered as the lowest order member. While the HP filter converges to linear time trend as the smoothing factor grows, the higher order members of the proposed family converge to higher order polynomial time trends. The filter order - the new parameter introduced - allows to set the filter selectivity. Furthermore, two different methods to implement these filters are presented.