Dermoune, Azzouz; Djehiche, Boualem; Rahmania, Nadji - In: Studies in Nonlinear Dynamics & Econometrics 13 (2009) 3, pp. 1656-1656
The univariate Hodrick-Prescott filter depends on the noise-to-signal ratio that acts as a smoothing parameter. We first propose an optimality criterion for choosing the best smoothing parameters. We show that the noise-to-signal ratio is the unique minimizer of this criterion, when we use an...