A small but practically useful modification to the Hodrick-Prescott filtering: a note

DOI10.1080/03610926.2016.1179764MaRDI QIDQ4586578zbMATH OpenOpenAlexFDO

Authors Hiroshi Yamada

Publication date 27 October 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2016.1179764

zbMATH Keywords

ridge regressionHodrick-Prescott filteringWhittaker-Henderson method of graduationtrend component

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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Cited in

(10)

• Ridge regression representations of the generalized Hodrick-Prescott filter
• A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK–PRESCOTT FILTER
• A modification of the Whittaker–Henderson method of graduation
• Distortionary effects of the optimal Hodrick--Prescott filter
• Several least-squares problems related to the Hodrick-Prescott filtering
• Reconciling output gaps: unobserved components model and Hodrick-Prescott filter
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• The Hodrick-Prescott filter: a special case of penalized spline smoothing
• Exponential smoothing as an alternative to the Hodrick-Prescott filter
• Trend extraction from economic time series with missing observations by generalized Hodrick-Prescott filters

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