The spectral analysis of the Hodrick–Prescott filter
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Publication:5095293
cointegrationHodrick-Prescott filterspectrumautocovariance functioncross-spectrumcross-covariance function
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Fourier coefficients, Fourier series of functions with special properties, special Fourier series (42A16) Inference from stochastic processes (62Mxx)
Cites work
- scientific article; zbMATH DE number 3162406 (Why is no real title available?)
- scientific article; zbMATH DE number 3332973 (Why is no real title available?)
- 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
- Long-run covariability
- Low frequency filtering and real business cycles
- Time to Build and Aggregate Fluctuations
Cited in
(6)- On the functional Hodrick-Prescott filter with non-compact operators
- Distortionary effects of the optimal Hodrick--Prescott filter
- scientific article; zbMATH DE number 2222919 (Why is no real title available?)
- 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
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