Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/20289
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dc.contributor.authorSchlicht, Ekkeharten_US
dc.date.accessioned2009-01-28T16:13:01Z-
dc.date.available2009-01-28T16:13:01Z-
dc.date.issued2004en_US
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_US
dc.language.isoengen_US
dc.publisher|aInstitute for the Study of Labor (IZA) |cBonnen_US
dc.relation.ispartofseries|aIZA Discussion paper series |x1054en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.keywordHodrick-Prescott filteren_US
dc.subject.keywordKalman filteringen_US
dc.subject.keywordKalman-Bucyen_US
dc.subject.keywordstate-space modelsen_US
dc.subject.keywordrandom walken_US
dc.subject.keywordtime-varying coefficientsen_US
dc.subject.keywordadaptive estimationen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwSaisonbereinigungen_US
dc.subject.stwZustandsraummodellen_US
dc.subject.stwSch├Ątztheorieen_US
dc.subject.stwTheorieen_US
dc.titleEstimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filteren_US
dc.typeWorking Paperen_US
dc.identifier.ppn380944766en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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