The spectral analysis of the Hodrick–Prescott filter
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autocovariance functioncointegrationcross-covariance functioncross-spectrumHodrick-Prescott filterspectrum
Fourier coefficients, Fourier series of functions with special properties, special Fourier series (42A16) Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and prediction (62M20) Inference from stochastic processes (62Mxx) Applications of statistics to economics (62P20)
Cites work
- A property of the Hodrick-Prescott filter and its application
- Band Spectral Regression with Trending Data
- Boosting: why you can use the HP filter
- Business cycles, trend elimination, and the HP filter
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Effects of the Hodrick-Prescott filter on trend and difference stationary time series
- scientific article; zbMATH DE number 3162406 (Why is no real title available?)
- scientific article; zbMATH DE number 3332973 (Why is no real title available?)
- Long-run covariability
- Low frequency filtering and real business cycles
- Time to Build and Aggregate Fluctuations
Cited in
(7)- Distortionary effects of the optimal Hodrick--Prescott filter
- Effects of the Hodrick-Prescott filter on trend and difference stationary time series
- Reconciling output gaps: unobserved components model and Hodrick-Prescott filter
- The Hodrick-Prescott filter: a special case of penalized spline smoothing
- On the functional Hodrick-Prescott filter with non-compact operators
- scientific article; zbMATH DE number 2222919 (Why is no real title available?)
- HPX filter: a hybrid of Hodrick-Prescott filter and multiple regression
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