A PROPERTY OF THE HODRICK–PRESCOTT FILTER AND ITS APPLICATION

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

zbMATH Keywords

Hodrick-Prescott filter

Mathematics Subject Classification ID

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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