Reducing the Excess Variability of the Hodrick-Prescott Filter by Flexible Penalization
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More about this item
Keywords
Hodrick-Prescott filter; spectral analysis; trend estimation; gain function; flexible penalization;All these keywords.
JEL classification:
- 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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2014-01-24 (Econometrics)
- NEP-ETS-2014-01-24 (Econometric Time Series)
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