@techreport{Schlicht2004Estimating,
abstract = {This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997)
which has been proposed in the context of my seasonal adjustment method (Schlicht 1981,
1984). A statistics estimator for the smoothing parameter is proposed that is asymptotically
equivalent to the maximum-likelihood estimator and has a straightforward intuitive
interpretation. The method is illustrated by an application and several simulations.},
author = {Ekkehart Schlicht},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C22; 330; Hodrick-Prescott filter; Kalman filtering; Kalman-Bucy; state-space models; random walk; time-varying coefficients; adaptive estimation; Zeitreihenanalyse; Saisonbereinigung; Zustandsraummodell; Sch\"{a}tztheorie; Theorie},
language = {eng},
number = {1054},
title = {Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter},
type = {IZA Discussion paper series},
url = {http://hdl.handle.net/10419/20289},
year = {2004}
}
