Arbeitspapier
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) 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: IZA Discussion Papers ; No. 1054
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
Hodrick-Prescott filter
Kalman filtering
Kalman-Bucy
state-space models
random walk
time-varying coefficients
adaptive estimation
Zeitreihenanalyse
Saisonbereinigung
Zustandsraummodell
Schätztheorie
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schlicht, Ekkehart
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for the Study of Labor (IZA)
- (wo)
-
Bonn
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:23 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Schlicht, Ekkehart
- Institute for the Study of Labor (IZA)
Entstanden
- 2004
Ähnliche Objekte (12)
Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
Estimating time-varying coefficients with Gretl using the VC method
Ordnungsplatonismus
Consistency in organization (updated)
Social Evolution, Corporate Culture, and Exploitation
A Case Where Barro Expectations Are Not Rational
Public Debt as Private Wealth. Some Equilibrium Considerations
Selection wages and discrimination
Efficiency wages: Variants and implications
Entitlements and obligations
Selection Wages: An Illustration
Trend Extraction From Time Series With Structural Breaks and Missing Observations
Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
Estimating time-varying coefficients with Gretl using the VC method
Ordnungsplatonismus
Consistency in organization (updated)
Social Evolution, Corporate Culture, and Exploitation
A Case Where Barro Expectations Are Not Rational
Public Debt as Private Wealth. Some Equilibrium Considerations
Selection wages and discrimination
Efficiency wages: Variants and implications
Entitlements and obligations
Selection Wages: An Illustration
Trend Extraction From Time Series With Structural Breaks and Missing Observations
Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
Estimating time-varying coefficients with Gretl using the VC method
Ordnungsplatonismus
Consistency in organization (updated)
Social Evolution, Corporate Culture, and Exploitation
A Case Where Barro Expectations Are Not Rational
Public Debt as Private Wealth. Some Equilibrium Considerations
Selection wages and discrimination
Efficiency wages: Variants and implications
Entitlements and obligations
Selection Wages: An Illustration