The Holt-Winters filter and the one-sided HP filter: A close correspondence
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- Alfaro, Rodrigo & Drehmann, Mathias, 2023. "The Holt–Winters filter and the one-sided HP filter: A close correspondence," Economics Letters, Elsevier, vol. 222(C).
- Rodrigo Alfaro & Mathias Drehmann, 2022. "The Holt-Winters filter and the one-sided HP filter: A close correspondence," BIS Working Papers 1033, Bank for International Settlements.
References listed on IDEAS
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More about this item
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2022-09-26 (Econometrics)
- NEP-FDG-2022-09-26 (Financial Development and Growth)
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