Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter
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- Flaig Gebhard, 2015. "Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 235(6), pages 518-538, December.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Leibfritz, Willi & Rottmann, Horst, 2013.
"Fiscal policy during business cycles in developing countries: The case of Africa,"
36, University of Applied Sciences Amberg-Weiden (OTH).
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- Willi Leibfritz & Gebhard Flaig, 2013. "Economic Growth in Africa: Comparing Recent Improvements with the "lost 1980s and early 1990s" and Estimating New Growth Trends," CESifo Working Paper Series 4215, CESifo Group Munich.
- Bloechl, Andreas, 2014. "Reducing the Excess Variability of the Hodrick-Prescott Filter by Flexible Penalization," Discussion Papers in Economics 17940, University of Munich, Department of Economics.
More about this item
KeywordsHodrick-Prescott filter; Wiener-Kolmogorov filter; smoothing parameter; trends; cycles;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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