Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/20289 
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dc.contributor.authorSchlicht, Ekkeharten
dc.date.accessioned2009-01-28T16:13:01Z-
dc.date.available2009-01-28T16:13:01Z-
dc.date.issued2004-
dc.identifier.urihttp://hdl.handle.net/10419/20289-
dc.description.abstractThis 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 asymptoticallyequivalent to the maximum-likelihood estimator and has a straightforward intuitiveinterpretation. The method is illustrated by an application and several simulations.en
dc.language.isoengen
dc.publisher|aInstitute for the Study of Labor (IZA) |cBonnen
dc.relation.ispartofseries|aIZA Discussion Papers |x1054en
dc.subject.jelC22en
dc.subject.ddc330en
dc.subject.keywordHodrick-Prescott filteren
dc.subject.keywordKalman filteringen
dc.subject.keywordKalman-Bucyen
dc.subject.keywordstate-space modelsen
dc.subject.keywordrandom walken
dc.subject.keywordtime-varying coefficientsen
dc.subject.keywordadaptive estimationen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwSaisonbereinigungen
dc.subject.stwZustandsraummodellen
dc.subject.stwSchätztheorieen
dc.subject.stwTheorieen
dc.titleEstimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter-
dc.typeWorking Paperen
dc.identifier.ppn380944766en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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