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Title:Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter PDF Logo
Authors:Schlicht, Ekkehart
Issue Date:2004
Series/Report no.:IZA Discussion paper series 1054
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.
Subjects:Hodrick-Prescott filter
Kalman filtering
state-space models
random walk
time-varying coefficients
adaptive estimation
Document Type:Working Paper
Appears in Collections:IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA)

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