This article develops a new method for detrending time series. It is shown how, in a Bayesian framework, a generalized version of the Hodrick-Prescott filter is obtained by specifying prior densities on the signal-to-noise ratio (q) in the underlying unobserved components model. This helps...

Two important problems in the X-11 seasonal adjustment methodology are the construction of standard errors and the handling of the boundaries. We adapt the ‘implied model approach’ of Kaiser and Maravall to achieve both objectives in a nonparametric fashion. The frequency response function...