Template-Type: ReDIF-Paper 1.0
Author-Name: Rodrigo Alfaro
Author-X-Name-First: Rodrigo
Author-X-Name-Last: Alfaro
Author-Name: Mathias Drehmann
Author-X-Name-First: Mathias
Author-X-Name-Last: Drehmann
Title: The Holt-Winters filter and the one-sided HP filter: A close correspondence
Abstract: We show that the trend of the one-sided HP filter can be asymptotically approx-imated 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.
Length: 20 pages
Creation-Date: 2022-07
File-URL: https://www.bis.org/publ/work1033.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work1033.htm
File-Format: text/html
Number: 1033
Handle: RePEc:bis:biswps:1033