{"title":"TREND ESTIMATION AND THE HODRICK-PRESCOTT FILTER","authors":"A. Harvey, T. Trimbur","doi":"10.14490/JJSS.38.41","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":326924,"journal":{"name":"Journal of the Japan Statistical Society. Japanese issue","volume":"181 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2008-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"98","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of the Japan Statistical Society. Japanese issue","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.14490/JJSS.38.41","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 98
Abstract
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.
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