Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/20289 
Year of Publication: 
2004
Series/Report no.: 
IZA Discussion Papers No. 1054
Publisher: 
Institute for the Study of Labor (IZA), Bonn
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

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