A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK–PRESCOTT FILTER

DOI10.1017/S0266466619000379zbMath1462.62741MaRDI QIDQ5859559

Hiroshi Yamada

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

62H12: Estimation in multivariate analysis

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

62G15: Nonparametric tolerance and confidence regions

91B84: Economic time series analysis