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Estimating the trend in US real GDP using the trend filtering

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  • Hiroshi Yamada

Abstract

Using non-Gaussian state-space models, Perron and Wada (2009, Journal of Monetary Economics, 56, 749–765) obtained a nearly piecewise linear trend estimate of US real gross domestic product such that its slope changed around 1973. Such a trend may be regarded as a result of occasional permanent shocks to the growth rate. This article shows that the $${\ell _1}$$ℓ1 trend filtering, which is quite similar to the Hodrick–Prescott filtering and is a type of the recently popular lasso regression, yields almost the same trend estimate, and discusses the reason why this occurs.

Suggested Citation

  • Hiroshi Yamada, 2017. "Estimating the trend in US real GDP using the trend filtering," Applied Economics Letters, Taylor & Francis Journals, vol. 24(10), pages 713-716, June.
    • Handle: RePEc:taf:apeclt:v:24:y:2017:i:10:p:713-716
    DOI: 10.1080/13504851.2016.1223811
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    Cited by:

    1. Hiroshi Yamada, 2018. "A trend filtering method closely related to $$\ell _{1}$$ ℓ 1 trend filtering," Empirical Economics, Springer, vol. 55(4), pages 1413-1423, December.
    2. Hiroshi Yamada & Ruoyi Bao, 2022. "$$\ell _{1}$$ ℓ 1 Common Trend Filtering," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1005-1025, March.
    3. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2021. "Sparse factor model based on trend filtering," Annals of Operations Research, Springer, vol. 306(1), pages 321-342, November.

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