Trend Estimation and the Hodrick-Prescott Filter

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概要

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• The article analyses the relationship between unobserved component trend-cycle models and the Hodrick-Prescott filter. Consideration is given to the consequences of using an inappropriate smoothing constant and the effect of changing the observation interval.

• 日本統計学会の論文

著者

• Harvey Andrew

  Faculty Of Economics University Of Cambridge

• Trimbur Thomas

  Division Of Research And Statistics Federal Reserve System

関連論文

• TREND ESTIMATION AND THE HODRICK-PRESCOTT FILTER(CELEBRATION VOLUME FOR AKAIKE)
• Trend Estimation and the Hodrick-Prescott Filter

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