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Selecting the tuning parameter of the ℓ1 trend filter

Yamada Hiroshi (yamada@hiroshima-u.ac.jp) and Yoon Gawon
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Yamada Hiroshi: Department of Economics, Hiroshima University, 1-2-1 Kagamiyama, Higashi-Hiroshima 739-8525, Japan
Yoon Gawon: Department of Economics, Kookmin University, 136–702, S. Korea

Studies in Nonlinear Dynamics & Econometrics, 2016, vol. 20, issue 1, 97-105

Abstract: The ℓ1 trend filter, which is similar to the popular Hodrick–Prescott (HP) filter, seems to be very promising because it enables us to estimate a piecewise linear trend without specifying the location and number of kink points a priori. Such a trend may be regarded as a result of occasional permanent shocks to the growth rate. Similarly to the HP filter, the value of the tuning parameter needs to be selected in applying this filter. This paper proposes a method for selecting the tuning parameter of the ℓ1 trend filter and its generalization.

Keywords: Hodrick–Prescott filter; lasso; ℓ1 trend filter; sparsity; tuning parameter (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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DOI: 10.1515/snde-2014-0089

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