A PROPERTY OF THE HODRICK–PRESCOTT FILTER AND ITS APPLICATION
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Publication:5859556
DOI10.1017/S0266466619000331zbMath1462.62570OpenAlexW2992514263MaRDI QIDQ5859556
Neslihan Sakarya, Robert M. de Jong
Publication date: 16 April 2021
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466619000331
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (4)
TREND EXTRACTION FROM ECONOMIC TIME SERIES WITH MISSING OBSERVATIONS BY GENERALIZED HODRICK–PRESCOTT FILTERS ⋮ The spectral analysis of the Hodrick–Prescott filter ⋮ Property rights, expropriations, and business cycles in China ⋮ A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK–PRESCOTT FILTER
Cites Work
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- Exact formulas for the Hodrick-Prescott filter
- Low frequency filtering and real business cycles
- A maximal inequality and dependent strong laws
- Effects of the Hodrick-Prescott filter on trend and difference stationary time series
- Uniform Consistency of Kernel Estimators of a Regression Function Under Generalized Conditions
- Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts
- Some Limit Theorems for Stationary Processes
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