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Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter

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Author Info
Schlicht, Ekkehart () (University of Munich and IZA Bonn)

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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 asymptotically equivalent to the maximum-likelihood estimator and has a straightforward intuitive interpretation. The method is illustrated by an application and several simulations.

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Publisher Info
Paper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 1054.

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Length: 28 pages
Date of creation: Mar 2004
Date of revision:
Handle: RePEc:iza:izadps:dp1054

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Related research
Keywords: Hodrick-Prescott filter; Kalman filtering; Kalman-Bucy; state-space models; random walk; time-varying coefficients; adaptive estimation; time-series; seasonal adjustment; trend;

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Schlicht, Ekkehart, . "Isolation and Aggregation in Economics," Monographs in Economics, University of Munich, Department of Economics, number 3, September. [Downloadable!]
  2. Ekkehart Schlicht & Johannes Ludsteck, 2006. "Variance Estimation in a Random Coefficients Model," IZA Discussion Papers 2031, Institute for the Study of Labor (IZA). [Downloadable!]
    Other versions:
  3. 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.
    Other versions:
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Dimitrios Thomakos, 2008. "Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration," Working Papers 0024, University of Peloponnese, Department of Economics. [Downloadable!]
    Other versions:
  2. Itir Ozer & Ibrahim Ozkan, 2007. "Optimum filtering for optimum currency areas criteria," Economics Bulletin, Economics Bulletin, vol. 6(43), pages 1. [Downloadable!]
  3. Itir Ozer & Ibrahim Ozkan, 2007. "Optimum filtering for optimum currency areas criteria," Economics Bulletin, Economics Bulletin, vol. 6(44), pages 1-18. [Downloadable!]
  4. David E. Giles & Chad N. Stroomer, 2004. "Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering," Econometrics Working Papers 0406, Department of Economics, University of Victoria. [Downloadable!]
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This page was last updated on 2009-11-9.

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