The Hodrick-Prescott filter: a special case of penalized spline smoothing

DOI10.1214/10-EJS570zbMath1329.62200MaRDI QIDQ1952084

Yanyan Li

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

zbMATH Keywords

saddlepoint approximation; semiparametric model; econometric smoothing; gross national product; parametric bootstrap confidence interval

Mathematics Subject Classification ID

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

• SemiPar
• ElemStatLearn

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Low frequency filtering and real business cycles
• Nonparametric regression with correlated errors.
• Flexible smoothing with \(B\)-splines and penalties. With comments and a rejoinder by the authors
• Semiparametric regression during 2003--2007
• Fast and Accurate Inference for the Smoothing Parameter in Semiparametric Models
• A COMPARISON OF MIXED MODEL SPLINES FOR CURVE FITTING
• On the asymptotics of penalized splines
• $\ell_1$ Trend Filtering
• A Note on Penalized Spline Smoothing With Correlated Errors
• Maximum Likelihood Approaches to Variance Component Estimation and to Related Problems
• Semiparametric Regression
• Variable Selection and Function Estimation in Additive Nonparametric Regression Using a Data-Based Prior
• Likelihood Ratio Tests in Linear Mixed Models with One Variance Component
• Exact likelihood ratio tests for penalised splines
• Estimating the Smoothing Parameter in the So-called Hodrick-Prescott Filter