Process / pipelineTrend & seasonality
Hodrick-Prescott 滤波器：宏观经济时间序列的趋势-周期分解
Hodrick-Prescott (HP) 滤波器是一种惩罚最小二乘技术，用于宏观经济学和实证金融学，将时间序列分解为平滑的长期趋势分量和短期周期分量。该滤波器由 Hodrick 和 Prescott (1997) 使用战后美国商业周期数据引入，已成为商业周期分析、货币政策研究和应用计量经济学中最广泛应用的滤波器之一。
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来源
- Hodrick, R. J., & Prescott, E. C. (1997). Postwar U.S. business cycles: An empirical investigation. Journal of Money, Credit and Banking, 29(1), 1–16. DOI: 10.2307/2953682 ↗
如何引用本页
ScholarGate. (2026, June 2). Hodrick-Prescott Filter. ScholarGate. https://scholargate.app/zh/econometrics/hp-filter
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