Arbeitspapier
Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997), originally proposed by Leser (1961). It builds on an approach to seasonal adjustment suggested by Leser (1963) and Schlicht (1981, 1984). A moments estimator for the smoothing parameter is proposed that is asymptotically equivalent to the maximum-likelihood estimator, has a straightforward intuitive interpretation and is more appropriate for short series than the maximum-likelihood estimator. The method is illustrated by an application and several simulations.
- Sprache
-
Englisch
- Erschienen in
-
Series: Munich Discussion Paper ; No. 2004-2
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
Hodrick-Prescott filter
Kalman filter
Kalman-Bucy
Whittaker-Henderson graduation
spline
state-space models
random walk
time-varying coefficients
adaptive estimation
time-series
seasonal adjustment
trend
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schlicht, Ekkehart
- Ereignis
-
Veröffentlichung
- (wer)
-
Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät
- (wo)
-
München
- (wann)
-
2004
- DOI
-
doi:10.5282/ubm/epub.304
- Handle
- URN
-
urn:nbn:de:bvb:19-epub-304-2
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Schlicht, Ekkehart
- Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät
Entstanden
- 2004
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