TREND EXTRACTION FROM ECONOMIC TIME SERIES WITH MISSING OBSERVATIONS BY GENERALIZED HODRICK–PRESCOTT FILTERS

DOI10.1017/S0266466621000189zbMath1493.62624OpenAlexW3169747281MaRDI QIDQ5081787

Hiroshi Yamada

Publication date: 17 June 2022

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466621000189

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (3)

l₁common trend filtering: an extension ⋮ Extracting business cycles with three filters: A comparative study and application in the case of China ⋮ Fast and locally adaptive Bayesian quantile smoothing using calibrated variational approximations

Uses Software

• CVX
• SemiPar

Cites Work

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• BOOSTING: WHY YOU CAN USE THE HP FILTER
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• A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK–PRESCOTT FILTER
• A modification of the Whittaker–Henderson method of graduation
• The Hodrick--Prescott filter, the Slutzky effect, and the distortionary effect of filters

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