Reeves, J. J.; Blyth, C. A.; Triggs, C. M.; Small, J. P. - Department of Economics, Business School
This paper proposes a novel derivation of the Hodrick-Prescott, Department of Economics (HP) minimisation problem which leads to a generalisation of the Hodrick-Prescott filter. The main result is the development of a new filter to extract a localised maximum likelihood estimate of the cycle...
