Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
Year of publication: |
2004
|
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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 |
Series: | IZA Discussion Papers ; 1054 |
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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: |
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