The Hodrick-Prescott Filter with a Time-Varying Penalization Parameter. An Application for the Trend Estimation of Global Temperature
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References listed on IDEAS
- Gourieroux,Christian & Monfort,Alain, 1997. "Time Series and Dynamic Models," Cambridge Books, Cambridge University Press, number 9780521423083.
- McElroy, Tucker, 2008. "Matrix Formulas For Nonstationary Arima Signal Extraction," Econometric Theory, Cambridge University Press, vol. 24(04), pages 988-1009, August.
- Osborn, Denise R, 1995. "Moving Average Detrending and the Analysis of Business Cycles," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(4), pages 547-558, November.
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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.
- Gebhard Flaig, 2012. "Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter," CESifo Working Paper Series 3816, CESifo Group Munich.
More about this item
Keywordsclimate change; global warming; trend; Hodrick-Prescott filter; flexible penalization;
- Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-08 (All new papers)
- NEP-ENE-2014-03-08 (Energy Economics)
- NEP-ENV-2014-03-08 (Environmental Economics)
- NEP-ETS-2014-03-08 (Econometric Time Series)
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