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Forschungsinstitut zur Zukunft der Arbeit (IZA), Bonn >
IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA) >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/20289
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Schlicht, Ekkehart | | en_US |
| dc.date.accessioned | | 2009-01-28T16:13:01Z | | - |
| dc.date.available | | 2009-01-28T16:13:01Z | | - |
| dc.date.issued | | 2004 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/20289 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | | | en_US |
| dc.relation.ispartofseries | | IZA Discussion paper series 1054 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Hodrick-Prescott filter | | en_US |
| dc.subject.keyword | | Kalman filtering | | en_US |
| dc.subject.keyword | | Kalman-Bucy | | en_US |
| dc.subject.keyword | | state-space models | | en_US |
| dc.subject.keyword | | random walk | | en_US |
| dc.subject.keyword | | time-varying coefficients | | en_US |
| dc.subject.keyword | | adaptive estimation | | en_US |
| dc.subject.stw | | Zeitreihenanalyse | | en_US |
| dc.subject.stw | | Saisonbereinigung | | en_US |
| dc.subject.stw | | Zustandsraummodell | | en_US |
| dc.subject.stw | | Schätztheorie | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 380944766 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA)
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