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https://hdl.handle.net/10419/20289
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Schlicht, Ekkehart | en |
dc.date.accessioned | 2009-01-28T16:13:01Z | - |
dc.date.available | 2009-01-28T16:13:01Z | - |
dc.date.issued | 2004 | - |
dc.identifier.uri | http://hdl.handle.net/10419/20289 | - |
dc.description.abstract | 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 asymptoticallyequivalent to the maximum-likelihood estimator and has a straightforward intuitiveinterpretation. The method is illustrated by an application and several simulations. | en |
dc.language.iso | eng | en |
dc.publisher | |aInstitute for the Study of Labor (IZA) |cBonn | en |
dc.relation.ispartofseries | |aIZA Discussion Papers |x1054 | en |
dc.subject.jel | C22 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Hodrick-Prescott filter | en |
dc.subject.keyword | Kalman filtering | en |
dc.subject.keyword | Kalman-Bucy | en |
dc.subject.keyword | state-space models | en |
dc.subject.keyword | random walk | en |
dc.subject.keyword | time-varying coefficients | en |
dc.subject.keyword | adaptive estimation | en |
dc.subject.stw | Zeitreihenanalyse | en |
dc.subject.stw | Saisonbereinigung | en |
dc.subject.stw | Zustandsraummodell | en |
dc.subject.stw | Schätztheorie | en |
dc.subject.stw | Theorie | en |
dc.title | Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 380944766 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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