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

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Author Info
Schlicht, Ekkehart

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Abstract

This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997), originally proposed by Leser (1961). It builds on an approach to seasonal adjustment suggested by Leser (1963) and Schlicht (1981, 1984). A moments estimator for the smoothing parameter is proposed that is asymptotically equivalent to the maximum-likelihood estimator, has a straightforward intuitive interpretation and is more appropriate for short series than the maximum-likelihood estimator. The method is illustrated by an application and several simulations.

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File URL: http://epub.ub.uni-muenchen.de/304/1/schlicht-HP-3-DP.pdf
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Publisher Info
Paper provided by University of Munich, Department of Economics in its series Discussion Papers in Economics with number 304.

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Date of creation: Feb 2004
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Handle: RePEc:lmu:muenec:304

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Related research
Keywords: Hodrick-Prescott filter; Kalman filter; Kalman-Bucy; Whittaker-Henderson graduation; spline; state-space models; random walk; time-varying coefficients; adaptive estimation; time-series; seasonal adjustment; trend;

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Schlicht, Ekkehart, . "Isolation and Aggregation in Economics," Monographs in Economics, University of Munich, Department of Economics, number 3, September. [Downloadable!]
  2. Ekkehart Schlicht & Johannes Ludsteck, 2006. "Variance Estimation in a Random Coefficients Model," IZA Discussion Papers 2031, Institute for the Study of Labor (IZA). [Downloadable!]
    Other versions:
  3. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
    Other versions:
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Dimitrios Thomakos, 2008. "Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration," Working Papers 0024, University of Peloponnese, Department of Economics. [Downloadable!]
    Other versions:
  2. Itir Ozer & Ibrahim Ozkan, 2007. "Optimum filtering for optimum currency areas criteria," Economics Bulletin, Economics Bulletin, vol. 6(43), pages 1. [Downloadable!]
  3. Partouche, H., 2007. "Time-Varying Coefficients in a GMM Framework: Estimation of a Forward Looking Taylor Rule for the Federal Reserve," Documents de Travail 177, Banque de France. [Downloadable!]
  4. Itir Ozer & Ibrahim Ozkan, 2007. "Optimum filtering for optimum currency areas criteria," Economics Bulletin, Economics Bulletin, vol. 6(44), pages 1-18. [Downloadable!]
  5. David E. Giles & Chad N. Stroomer, 2004. "Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering," Econometrics Working Papers 0406, Department of Economics, University of Victoria. [Downloadable!]
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