The Hodrick-Prescott filter: a special case of penalized spline smoothing
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Publication:1952084
DOI10.1214/10-EJS570zbMath1329.62200MaRDI 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 approximation; semiparametric model; econometric smoothing; gross national product; parametric bootstrap confidence interval
62P20: Applications of statistics to economics
62G08: Nonparametric regression and quantile regression
62F25: Parametric tolerance and confidence regions
62F40: Bootstrap, jackknife and other resampling methods
Related Items
Parametrizations, weights, and optimal prediction, TREND EXTRACTION FROM ECONOMIC TIME SERIES WITH MISSING OBSERVATIONS BY GENERALIZED HODRICK–PRESCOTT FILTERS, Dynamic functional data analysis with non-parametric state space models, Exploring US business cycles with bivariate loops using penalized spline regression, Extensions of saddlepoint-based bootstrap inference, Selecting the tuning parameter of the \(\ell_1\) trend filter, A new method for specifying the tuning parameter of \(\ell_1\) trend filtering, An explicit formula for the smoother weights of the Hodrick-Prescott filter
Uses Software
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