Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997), originally proposed by Leser (1961). It builds on an approach to seasonal adjustment suggested by Leser (1963) and Schlicht (1981, 1984). A moments estimator for the smoothing parameter is proposed that is asymptotically equivalent to the maximum-likelihood estimator, has a straightforward intuitive interpretation and is more appropriate for short series than the maximum-likelihood estimator. The method is illustrated by an application and several simulations.
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- Robert J. Hodrick & Edward Prescott, 1981.
"Post-War U.S. Business Cycles: An Empirical Investigation,"
451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- 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.
- Schlicht, Ekkehart, 1984.
"Seasonal Adjustment in a Stochastic Model,"
Munich Reprints in Economics
3371, University of Munich, Department of Economics.
- Schlicht, Ekkehart & Pauly, Ralf, 1983.
"Descriptive Seasonal Adjustment by Minimizing Perturbations,"
Munich Reprints in Economics
3346, University of Munich, Department of Economics.
- Schlicht, Ekkehart & Pauly, Ralf, 1982. "Descriptive Seasonal Adjustment by Minimizing Perturbations," Darmstadt Discussion Papers in Economics 16, Darmstadt University of Technology, Department of Law and Economics.
- Schlicht, Ekkehart, . "Isolation and Aggregation in Economics," Monographs in Economics, University of Munich, Department of Economics, number 3, December.
- Schlicht, Ekkehart & Ludsteck, Johannes, 2006.
"Variance Estimation in a Random Coefficients Model,"
IZA Discussion Papers
2031, Institute for the Study of Labor (IZA).
- Schlicht, Ekkehart & Ludsteck, Johannes, 2006. "Variance Estimation in a Random Coefficients Model," Discussion Papers in Economics 904, University of Munich, Department of Economics.
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