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Maximum likelihood estimation with HP filtered data: an invariance theorem

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  • Timothy Cogley

Abstract

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.

Suggested Citation

  • Timothy Cogley, 1994. "Maximum likelihood estimation with HP filtered data: an invariance theorem," Working Papers in Applied Economic Theory 94-12, Federal Reserve Bank of San Francisco.
  • Handle: RePEc:fip:fedfap:94-12
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    Business cycles;

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