Quantile regression version of Hodrick–Prescott filter
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DOI: 10.1007/s00181-022-02292-8
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"Boosting: Why You Can Use The Hp Filter,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(2), pages 521-570, May.
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More about this item
Keywords
Hodrick–Prescott filter; Quantile regression; Penalized regression;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistics
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