Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter

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.

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Year of publication:	2004-03
Authors:	Schlicht, Ekkehart
Institutions:	Institute for the Study of Labor (IZA)
Subject:	Hodrick-Prescott filter \| Kalman filtering \| Kalman-Bucy \| state-space models \| random walk \| time-varying coefficients \| adaptive estimation \| time-series \| seasonal adjustment \| trend

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Extent:	application/pdf
Series:	IZA Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1054 28 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005703010