The Hodrick-Prescott filter with priors: linear restrictions on HP filters
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More about this item
KeywordsBusiness Cycles; Hodrick-Prescott Filter;
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- 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-CIS-2011-10-22 (Confederation of Independent States)
- NEP-ECM-2011-10-22 (Econometrics)
- NEP-ETS-2011-10-22 (Econometric Time Series)
- NEP-MAC-2011-10-22 (Macroeconomics)
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