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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/20289| Title: | Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter |
| Keywords: | C22 ddc:330 Hodrick-Prescott filter Kalman filtering Kalman-Bucy state-space models random walk time-varying coefficients adaptive estimation Zeitreihenanalyse Saisonbereinigung Zustandsraummodell Schätztheorie Theorie |
| Issue Date: | 16-Oct-2013 |
| Publisher: | |
| Description: | 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. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/20289 |
| Other Identifiers: | http://hdl.handle.net/10419/20289 ppn:380944766 |
| Appears in Collections: | EconStor |
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