An explicit formula for the smoother weights of the Hodrick-Prescott filter

DOI10.1515/snde-2018-0035OpenAlexW2915046677MaRDI QIDQ2697061

Hiroshi Yamada, Fatima Tuj Jahra

Publication date: 17 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2018-0035

zbMATH Keywords

Hodrick-Prescott filterpentadiagonal Toeplitz matrixsmoother weightsWhittaker-Henderson method of graduation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

TREND EXTRACTION FROM ECONOMIC TIME SERIES WITH MISSING OBSERVATIONS BY GENERALIZED HODRICK–PRESCOTT FILTERS ⋮ A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK–PRESCOTT FILTER

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