Blackburn, Keith; Orduna, Felipe; Sola, Martin - In: Applied Economics Letters 2 (1995) 3, pp. 76-79
Exponential smoothing can introduce spurious auto-correlation in detrended data. The extent of this depends on the length of lag, the value of the smoothing parameter and the nature of the input process. The most widely-used version of exponential smoothing is the Hodrick-Prescott low-frequency...