Polasek, Wolfgang - In: DANUBE: Law and Economics Review (2012) 1, pp. 25-52
The Hodrick-Prescott (HP) method was originally developed to smooth time series, i.e. to get a smooth (long-term) component. We show that the HP smoother can be viewed as a Bayesian linear model with a strong prior for the smoothness component. Extending this Bayesian approach in a linear model...
