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Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter

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  • Schlicht, Ekkehart

    ()
    (University of Munich)

Abstract

This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997) which has been proposed in the context of my seasonal adjustment method (Schlicht 1981, 1984). A statistics estimator for the smoothing parameter is proposed that is asymptotically equivalent to the maximum-likelihood estimator and has a straightforward intuitive interpretation. The method is illustrated by an application and several simulations.

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Bibliographic Info

Paper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 1054.

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Length: 27 pages
Date of creation: Mar 2004
Date of revision:
Publication status: published in: Journal of the Japan Statistical Society, 2005, 35 (1), 99-119
Handle: RePEc:iza:izadps:dp1054

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Related research

Keywords: time-varying coefficients; random walk; stat e-space models; Kalman-Bucy; Kalman filtering; Hodrick-Prescott filter; adaptive estimation; time-series; seasonal adjustment; trend;

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References

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  1. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 29(1), pages 1-16, February.
  2. Schlicht, Ekkehart, . "Isolation and Aggregation in Economics," Monographs in Economics, University of Munich, Department of Economics, University of Munich, Department of Economics, number 3, April.
  3. Schlicht, Ekkehart, 1984. "Seasonal Adjustment in a Stochastic Model," Munich Reprints in Economics, University of Munich, Department of Economics 3371, University of Munich, Department of Economics.
  4. Schlicht, Ekkehart & Ludsteck, Johannes, 2006. "Variance Estimation in a Random Coefficients Model," Discussion Papers in Economics, University of Munich, Department of Economics 904, University of Munich, Department of Economics.
  5. Schlicht, Ekkehart & Pauly, Ralf, 1982. "Descriptive Seasonal Adjustment by Minimizing Perturbations," Darmstadt Discussion Papers in Economics, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL) 39247, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
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Citations

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Cited by:
  1. Jaromír Baxa & Roman Horváth & Borek Vasícek, 2010. "How Does Monetary Policy Change? Evidence on Inflation Targeting Countries," Working Papers, Department of Applied Economics at Universitat Autonoma of Barcelona wpdea1007, Department of Applied Economics at Universitat Autonoma of Barcelona.
  2. Jaromír Baxa & Roman Horváth & Borek Vasícek, 2011. "Monetary Policy Rules and Financial Stress: Does Financial Instability Matter for Monetary," Working Papers, Department of Applied Economics at Universitat Autonoma of Barcelona wpdea1101, Department of Applied Economics at Universitat Autonoma of Barcelona.
  3. David E. Giles, 2012. "Constructing Confidence Bands for the Hodrick-Prescott Filter," Econometrics Working Papers, Department of Economics, University of Victoria 1202, Department of Economics, University of Victoria.
  4. Metka Stare & Andreja Jaklič, 2011. "Towards Explaining Growth of Private and Public services in the Emerging Market Economies," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, Academy of Economic Studies - Bucharest, Romania, vol. 13(30), pages 581-598, June.
  5. knani, ramzi & fredj, ali, 2010. "Mondialisation et fluctuations des cycles économiques
    [globalisation and business cycle fluctuation]
    ," MPRA Paper 22755, University Library of Munich, Germany.
  6. Itir Ozer & Ibrahim Ozkan, 2007. "Optimum filtering for optimum currency areas criteria," Economics Bulletin, AccessEcon, vol. 6(44), pages 1-18.
  7. Partouche, H., 2007. "Time-Varying Coefficients in a GMM Framework: Estimation of a Forward Looking Taylor Rule for the Federal Reserve," Working papers, Banque de France 177, Banque de France.
  8. Göran Kauermann & Timo Teuber & Peter Flaschel, 2012. "Exploring US Business Cycles with Bivariate Loops Using Penalized Spline Regression," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 39(4), pages 409-427, April.
  9. Posch, Peter N., 2011. "Time to change. Rating changes and policy implications," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 80(3), pages 641-656.
  10. David E. Giles & Chad N. Stroomer, 2004. "Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering," Econometrics Working Papers, Department of Economics, University of Victoria 0406, Department of Economics, University of Victoria.
  11. Dermoune Azzouz & Djehiche Boualem & Rahmania Nadji, 2009. "Multivariate Extension of the Hodrick-Prescott Filter-Optimality and Characterization," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 13(3), pages 1-35, May.
  12. Miroslav Plašil, 2011. "Potential Product, Output Gap and Uncertainty Rate Associated with Their Determination while Using the Hodrick-Prescott Filter," Politická ekonomie, University of Economics, Prague, University of Economics, Prague, vol. 2011(4), pages 490-507.

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