Trend extraction from economic time series with missing observations by generalized Hodrick-Prescott filters

DOI10.1017/S0266466621000189MaRDI QIDQ5081787zbMATH OpenOpenAlexFDO

Authors Hiroshi Yamada

Publication date 17 June 2022

Published in Econometric Theory (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• A frequency selective filter for short-length time series
• A modification of the Whittaker–Henderson method of graduation
• A note on Whittaker-Henderson graduation: bisymmetry of the smoother matrix
• A property of the Hodrick-Prescott filter and its application
• A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK–PRESCOTT FILTER
• An explicit formula for the smoother weights of the Hodrick-Prescott filter
• Boosting: why you can use the HP filter
• Business cycles, trend elimination, and the HP filter
• Challenges of trending time series econometrics
• Efficient computation for Whittaker-Henderson smoothing
• Graph implementations for nonsmooth convex programs
• scientific article; zbMATH DE number 700016 (Why is no real title available?)
• scientific article; zbMATH DE number 5224144 (Why is no real title available?)
• Introduction to nonlinear optimization: theory, algorithms, and applications with MATLAB
• Low frequency filtering and real business cycles
• Ridge regression representations of the generalized Hodrick-Prescott filter
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Semiparametric Regression
• Several least-squares problems related to the Hodrick-Prescott filtering
• That BLUP is a good thing: The estimation of random effects. With comments and a rejoinder by the author
• The Frisch-Waugh-Lovell theorem for the Lasso and the ridge regression
• The Hodrick--Prescott filter, the Slutzky effect, and the distortionary effect of filters
• The Hodrick-Prescott filter: a special case of penalized spline smoothing

Cited in

(9)

• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• Reconciling output gaps: unobserved components model and Hodrick-Prescott filter
• Ridge regression representations of the generalized Hodrick-Prescott filter
• A small but practically useful modification to the Hodrick-Prescott filtering: a note
• Exponential smoothing as an alternative to the Hodrick-Prescott filter
• 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
• HPX filter: a hybrid of Hodrick-Prescott filter and multiple regression

Describes a project that uses

Uses Software

• SemiPar
• CVX

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