Maximum likelihood estimation with HP filtered data: an invariance theorem

Applying the Hodrick-Prescott filter to both the approximating model and the data adds a constant to the log-likelihood function. Thus, maximum likelihood estimates and likelihood ratio statistics are invariant to symmetric HP filtering.

MoreLess

Year of publication:	1994
Authors:	Cogley, Timothy
Institutions:	Federal Reserve Bank of San Francisco
Subject:	Business cycles

Check Google Scholar |

More access options

In German libraries (KVK)

I need help

More details

Series:	Working Papers in Applied Economic Theory.
Type of publication:	Book / Working Paper
Notes:	Number 94-12
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005078346