Exact formulas for the Hodrick-Prescott filter

DOI10.1111/J.1368-423X.2008.00230.XzbMATH Open1135.91412WikidataQ56453475 ScholiaQ56453475MaRDI QIDQ73810FDOQ73810

Authors: Tucker Mcelroy, Tucker S. McElroy 

Publication date: March 2008

Published in: Econometrics Journal (Search for Journal in Brave)

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Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Time series analysis by state space methods
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Cited In (12)

• On the functional Hodrick-Prescott filter with non-compact operators
• Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter
• Distortionary effects of the optimal Hodrick--Prescott filter
• Several least-squares problems related to the Hodrick-Prescott filtering
• A property of the Hodrick-Prescott filter and its application
• Title not available (Why is that?)
• Mixed \(\ell_2\) and \(\ell_1\)-norm regularization for adaptive detrending with ARMA modeling
• hpfilter
• On the measurement and treatment of extremes in time series
• Optimal real-time filters for linear prediction problems
• On the Model-Based Interpretation of Filters and the Reliability of Trend–Cycle Estimates
• Ridge regression representations of the generalized Hodrick-Prescott filter

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