Should-Read: Perhaps the most remarkable thing is that neither Robert Hodrick nor Ed Prescott ever came up with any arguments for why the filter was something you ought to use. Never. Not one: James D. Hamilton: Why You Should Never Use the Hodrick-Prescott Filter: “Here’s why. (1) The HP filter produces series with spurious dynamic … Continue reading Should-Read: James D. Hamilton: Why You Should Never Use the Hodrick-Prescott Filter