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

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.

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Year of publication:	2004
Authors:	Schlicht, Ekkehart
Publisher:	Bonn : Institute for the Study of Labor (IZA)
Subject:	Zeitreihenanalyse \| Saisonbereinigung \| Zustandsraummodell \| Schätztheorie \| Theorie \| Hodrick-Prescott filter \| Kalman filtering \| Kalman-Bucy \| state-space models \| random walk \| time-varying coefficients \| adaptive estimation

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Series:	IZA Discussion Papers ; 1054
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	380944766 [GVK] hdl:10419/20289 [Handle]
Classification:	C22 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010261819