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A smoothing method that looks like the Hodrick-Prescott filter

Yamada, Hiroshi - In: Econometric theory 36 (2020) 5, pp. 961-981

Persistent link: https://www.econbiz.de/10012307246

A new method for specifying the tuning parameter of l1 trend filtering

Yamada, Hiroshi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 4, pp. 1-8

Persistent link: https://www.econbiz.de/10011965278

A trend filtering method closely related to l1 trend filtering

Yamada, Hiroshi - In: Empirical economics : a journal of the Institute for … 55 (2018) 4, pp. 1413-1423

Persistent link: https://www.econbiz.de/10011950263

Why does the trend extracted by the Hodrick-Prescott filtering seem to be more plausible than the linear trend?

Yamada, Hiroshi - In: Applied economics letters 25 (2018) 2, pp. 102-105

Persistent link: https://www.econbiz.de/10011853703

Estimating the trend in US real GDP using the l1 trend filtering

Yamada, Hiroshi - In: Applied economics letters 24 (2017) 10/12, pp. 713-716

Persistent link: https://www.econbiz.de/10011714160

Selecting the tuning parameter of the l1 trend filter

Yamada, Hiroshi; Yoon, Gawon - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 97-105

Persistent link: https://www.econbiz.de/10011431307

Measuring the US NAIRU as a step function

Yamada, Hiroshi; Yoon, Gawon - In: Empirical economics : a journal of the Institute for … 51 (2016) 4, pp. 1679-1688

Persistent link: https://www.econbiz.de/10011661896

In Memoriam : Professor Michio Hatanaka

Hatanaka, Michio (honouree) - In: The Japanese economic review : the journal of the … 69 (2018) 2, pp. 131-132

Persistent link: https://www.econbiz.de/10011951300

An explicit formula for the smoother weights of the Hodrick-Prescott filter

Yamada, Hiroshi; Jahra, Fatima Tuj - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 5, pp. 1-10

Persistent link: https://www.econbiz.de/10012198467

Some Theoretical and Simulation Results on the Frequency Domain Causality Test

Yamada, Hiroshi; Yanfeng, Wei - In: Econometric Reviews 33 (2014) 8, pp. 936-947

Breitung and Candelon (2006) in <italic>Journal of Econometrics</italic> proposed a simple statistical testing procedure for the noncausality hypothesis at a given frequency. In their paper, however, they reported some theoretical results indicating that their test severely suffers from quite low power when the...

Persistent link: https://www.econbiz.de/10010975492