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

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Author Info
Schlicht, Ekkehart

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Abstract

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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File URL: http://epub.ub.uni-muenchen.de/304/1/schlicht-HP-3-DP.pdf
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Publisher Info
Paper provided by University of Munich, Department of Economics in its series Discussion Papers in Economics with number 304.

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Date of creation: Feb 2004
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Handle: RePEc:lmu:muenec:304

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Related research
Keywords: Hodrick-Prescott filter; Kalman filter; Kalman-Bucy; Whittaker-Henderson graduation; spline; 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. Ekkehart Schlicht & Johannes Ludsteck, 2006. "Variance Estimation in a Random Coefficients Model," IZA Discussion Papers 2031, Institute for the Study of Labor (IZA). [Downloadable!]
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  2. Schlicht, Ekkehart, . "Isolation and Aggregation in Economics," Monographs in Economics, University of Munich, Department of Economics, number 3, September. [Downloadable!]
  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. Itir Ozer & Ibrahim Ozkan, 2007. "Optimum filtering for optimum currency areas criteria," Economics Bulletin, Economics Bulletin, vol. 6(44), pages 1-18. [Downloadable!]
  2. 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:
  3. 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!]
  4. Itir Ozer & Ibrahim Ozkan, 2007. "Optimum filtering for optimum currency areas criteria," Economics Bulletin, Economics Bulletin, vol. 6(43), pages 1. [Downloadable!]
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