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

  • Schlicht, Ekkehart

    ()

    (University of Munich)

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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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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  1. Schlicht, Ekkehart & Ludsteck, Johannes, 2006. "Variance Estimation in a Random Coefficients Model," IZA Discussion Papers 2031, Institute for the Study of Labor (IZA).
  2. Schlicht, Ekkehart, . "Isolation and Aggregation in Economics," Monographs in Economics, University of Munich, Department of Economics, number 3.
  3. Schlicht, Ekkehart & Pauly, Ralf, 1983. "Descriptive Seasonal Adjustment by Minimizing Perturbations," Munich Reprints in Economics 3346, University of Munich, Department of Economics.
  4. 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.
  5. Schlicht, Ekkehart, 1984. "Seasonal Adjustment in a Stochastic Model," Munich Reprints in Economics 3371, University of Munich, Department of Economics.
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