The Extended Hodrick-Prescott (HP) Filter for Spatial Regression Smoothing
AbstractThe Hodrick-Prescott (HP) method is a popular smoothing method for economic time series to get a longterm component of stationary series like growth rates. The new extended HP smoothing model is applied to data-sets with an underlying metric and requires a Bayesian linear regression model with a strong prior based on differencing matrices for the smoothness parameter and a weak prior for the regression part. We define a Bayesian spatial smoothing model with neighbors for each observation and we define a smoothness prior similar to the HP filter in time series. This opens a new approach to model-based smoothers for time series and spatial models based on MCMC. We apply it to the NUTS-2 regions of the European Union for regional GDP and GDP per capita, where the fixed effects are removed by an extended HP smoothing model.
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Bibliographic InfoPaper provided by The Rimini Centre for Economic Analysis in its series Working Paper Series with number 45_11.
Date of creation: Nov 2011
Date of revision:
Hodrick-Prescott (HP) smoothers; smoothed square loss function; spatial smoothing; smoothness prior; Bayesian econometrics;
Other versions of this item:
- Polasek, Wolfgang, 2011. "The Extended Hodrick-Prescott (HP) Filter for Spatial Regression Smoothing," Economics Series 275, Institute for Advanced Studies.
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
- R12 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Size and Spatial Distributions of Regional Economic Activity; Interregional Trade (economic geography)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-28 (All new papers)
- NEP-ECM-2011-11-28 (Econometrics)
- NEP-GEO-2011-11-28 (Economic Geography)
- NEP-URE-2011-11-28 (Urban & Real Estate Economics)
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.:
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