Detrending, stylized facts and the business cycle
通过结构时间序列模型分析Hodrick-Prescott滤波去趋势的后果，发现机械去趋势会导致虚假周期，并用实证例子说明，同时指出结构框架能处理季节和不规则波动，并揭示ARIMA方法的局限。
Abstract The stylized facts of macroeconomic time series can be presented by fitting structural time series models. Within this framework, we analyse the consequences of the widely used detrending technique popularised by Hodrick and Prescott (1980). It is shown that mechanical detrending based on the Hodrick–Prescott filter can lead investigators to report spurious cyclical behaviour, and this point is illustrated with empirical examples. Structural time‐series models also allow investigators to deal explicitly with seasonal and irregular movements that may distort estimated cyclical components. Finally, the structural framework provides a basis for exposing the limitations of ARIMA methodology and models based on a deterministic trend with a single break.