A PROPERTY OF THE HODRICK–PRESCOTT FILTER AND ITS APPLICATION

DOI10.1017/S0266466619000331zbMath1462.62570MaRDI QIDQ5859556

Robert M. de Jong, Neslihan Sakarya

Publication date: 16 April 2021

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

Hodrick-Prescott filter

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)