Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
Year of publication: |
2004-02
|
---|---|
Authors: | Schlicht, Ekkehart |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | 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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Estimating the smoothing parameter in the so-called Hodrick-Prescott filter
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Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
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Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
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