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http://hdl.handle.net/10419/20289
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| Title: | | Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter  |
| 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 Kalman-Bucy state-space models random walk time-varying coefficients adaptive estimation |
| JEL: | | C22 |
| Document Type: | | Working Paper |
| Appears in Collections: | | IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA)
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