Hall, Viv; Thomson, Peter; McKelvie, Stuart - School of Economics and Finance, Victoria Business School - 2015
We present new empirical evidence on trend robustness and end-point issues, utilising the macroeconomic data set investigated in McKelvie and Hall (2012). We consider the relative merits of non-robust Hodrick-Prescott (HP) and robust loess (LOcal regrESSion) trend filtering methods, and assess...
