Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter

Please use this identifier to cite or link to this item: http://dspace.mediu.edu.my:8181/xmlui/handle/10419/20289

Full metadata record

DC Field	Value	Language
dc.creator	Schlicht, Ekkehart	-
dc.date	2004	-
dc.date.accessioned	2013-10-16T07:09:45Z	-
dc.date.available	2013-10-16T07:09:45Z	-
dc.date.issued	2013-10-16	-
dc.identifier	http://hdl.handle.net/10419/20289	-
dc.identifier	ppn:380944766	-
dc.identifier.uri	http://koha.mediu.edu.my:8181/xmlui/handle/10419/20289	-
dc.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.	-
dc.language	eng	-
dc.publisher		-
dc.relation	IZA Discussion paper series 1054	-
dc.rights	http://www.econstor.eu/dspace/Nutzungsbedingungen	-
dc.subject	C22	-
dc.subject	ddc:330	-
dc.subject	Hodrick-Prescott filter	-
dc.subject	Kalman filtering	-
dc.subject	Kalman-Bucy	-
dc.subject	state-space models	-
dc.subject	random walk	-
dc.subject	time-varying coefficients	-
dc.subject	adaptive estimation	-
dc.subject	Zeitreihenanalyse	-
dc.subject	Saisonbereinigung	-
dc.subject	Zustandsraummodell	-
dc.subject	Schätztheorie	-
dc.subject	Theorie	-
dc.title	Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter	-
dc.type	doc-type:workingPaper	-
Appears in Collections:	EconStor

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