Distortionary effects of the optimal Hodrick--Prescott filter

DOI10.1016/S0165-1765(98)00190-6zbMath0913.90070WikidataQ126422043 ScholiaQ126422043MaRDI QIDQ1274431

Jürgen Ehlgen

Publication date: 12 January 1999

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

time series modelsbusiness fluctuations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (2)

Time series modeling and decomposition ⋮ Spectral properties and geometric interpretation of R-filters

Cites Work

• Unnamed Item
• Signal extraction from nonstationary time series
• Low frequency filtering and real business cycles
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series

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