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The Holt-Winters Filter and the One-Sided Hp Filter

其他書名	A Close Correspondence
出版	SSRN, 2022
URL	http://books.google.com.hk/books?id=uMRdzwEACAAJ&hl=&source=gbs_api

註釋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.