An explicit formula for the smoother weights of the Hodrick-Prescott filter
Year of publication: |
2019
|
---|---|
Authors: | Yamada, Hiroshi ; Jahra, Fatima Tuj |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 23.2019, 5, p. 1-10
|
Subject: | hodrick-prescott filter | pentadiagonal toeplitz matrix | smoother weights | whittaker-henderson method of graduation | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Konjunktur | Business cycle |
-
Yoon, Gawon, (2015)
-
Piecewise linear trends and cycles in primary commodity prices
Winkelried, Diego, (2016)
-
On the credit-to-GDP gap and spurious medium-term cycles
Schüler, Yves, (2020)
- More ...
-
Some results on ℓ1 polynomial trend filtering
Yamada, Hiroshi, (2018)
-
An Evaluation of Japanese Leading Indicators
Yamada, Hiroshi, (2008)
-
Yamada, Hiroshi, (2012)
- More ...