The Hodrick-Prescott filter: a special case of penalized spline smoothing
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Publication:1952084
DOI10.1214/10-EJS570zbMath1329.62200OpenAlexW2103360891MaRDI QIDQ1952084
Publication date: 27 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1284557751
saddlepoint approximationsemiparametric modeleconometric smoothinggross national productparametric bootstrap confidence interval
Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Parametric tolerance and confidence regions (62F25) Bootstrap, jackknife and other resampling methods (62F40)
Related Items
Parametrizations, weights, and optimal prediction, TREND EXTRACTION FROM ECONOMIC TIME SERIES WITH MISSING OBSERVATIONS BY GENERALIZED HODRICK–PRESCOTT FILTERS, Selecting the tuning parameter of the \(\ell_1\) trend filter, A new method for specifying the tuning parameter of \(\ell_1\) trend filtering, Exploring US business cycles with bivariate loops using penalized spline regression, An explicit formula for the smoother weights of the Hodrick-Prescott filter, Dynamic functional data analysis with non-parametric state space models, Extensions of saddlepoint-based bootstrap inference
Uses Software
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