HP Filter是宏观经济研究中常用的工具

最近，UCSD的James D. Hamilton教授（就是1994年那本著名的时间序列分析教材的作者）发了一篇working paper，说HP Filter有巨大缺陷，建议大家再也不要用了！
Why You Should Never Use the Hodrick-Prescott Filter

文章摘要如下：
Here’s why. (1) The HP filter produces series with spurious dynamic relations that have no basis in the underlying data-generating process. (2) Filtered values at the end of the sample are very different from those in the middle, and are also characterized by spurious dynamics. (3) A statistical formalization of the problem typically produces values for the smoothing parameter vastly at odds with common practice, e.g., a value for λ far below 1600 for quarterly data. (4) There’s a better alternative. A regression of the variable at date t + h on the four most recent values as of date t offers a robust approach to detrending that achieves all the objectives sought by users of the HP filter with none of its drawbacks.

论文下载地址：
http://econweb.ucsd.edu/~jhamilto/hp.pdf
或者
http://www.nber.org/papers/w23429