| dc.creator |
Schlicht, Ekkehart |
|
| dc.date |
2004 |
|
| dc.date.accessioned |
2013-10-16T07:09:45Z |
|
| dc.date.available |
2013-10-16T07:09:45Z |
|
| dc.date.issued |
2013-10-16 |
|
| dc.identifier |
http://hdl.handle.net/10419/20289 |
|
| dc.identifier |
ppn:380944766 |
|
| dc.identifier.uri |
http://koha.mediu.edu.my:8181/xmlui/handle/10419/20289 |
|
| dc.description |
This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997) which has been proposed in the context of my seasonal adjustment method (Schlicht 1981, 1984). A statistics estimator for the smoothing parameter is proposed that is asymptotically equivalent to the maximum-likelihood estimator and has a straightforward intuitive interpretation. The method is illustrated by an application and several simulations. |
|
| dc.language |
eng |
|
| dc.publisher |
|
|
| dc.relation |
IZA Discussion paper series 1054 |
|
| dc.rights |
http://www.econstor.eu/dspace/Nutzungsbedingungen |
|
| dc.subject |
C22 |
|
| dc.subject |
ddc:330 |
|
| dc.subject |
Hodrick-Prescott filter |
|
| dc.subject |
Kalman filtering |
|
| dc.subject |
Kalman-Bucy |
|
| dc.subject |
state-space models |
|
| dc.subject |
random walk |
|
| dc.subject |
time-varying coefficients |
|
| dc.subject |
adaptive estimation |
|
| dc.subject |
Zeitreihenanalyse |
|
| dc.subject |
Saisonbereinigung |
|
| dc.subject |
Zustandsraummodell |
|
| dc.subject |
Schätztheorie |
|
| dc.subject |
Theorie |
|
| dc.title |
Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter |
|
| dc.type |
doc-type:workingPaper |
|