MCMC Estimation of Extended Hodrick-Prescott (HP) Filtering Models

Wolfgang Polasek

Working Paper series from Rimini Centre for Economic Analysis

Abstract: The Hodrick-Prescott (HP) method was originally developed to smooth time series, i.e. to get a smooth (long-term) component. We show that the HP smoother can be viewed as a Bayesian linear model with a strong prior for the smoothness component. Extending this Bayesian approach in a linear model set-up is possible by a conjugate and a non-conjugate model using MCMC. The Bayesian HP smoothing model is also extended to a spatial smoothing model. We have to define spatial neighbors for each observation and we can use in a similar way a smoothness prior as for the HP filter in time series. The new smoothing approaches are applied to the (textbook) airline passenger data for time series and to the problem of smoothing spatial regional data. This new approach can be used for a new class of model-based smoothers for time series and spatial models.

Keywords: Hodrick-Prescott (HP) smoothers; Spatial econometrics; MCMC estimation; Airline passenger time series; Spatial smoothing of regional data; NUTS: nomenclature of territorial units for statistics (search for similar items in EconPapers)
JEL-codes: C11 C15 C52 E17 R12 (search for similar items in EconPapers)
Date: 2011-05
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-geo
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.rcea.org/RePEc/pdf/wp25_11.pdf (application/pdf)

Related works:
Journal Article: MCMC Estimation of Extended Hodrick-Prescott (HP) Filtering Models (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:25_11

Access Statistics for this paper

More papers in Working Paper series from Rimini Centre for Economic Analysis Contact information at EDIRC.
Bibliographic data for series maintained by Marco Savioli ().