Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter

Ekkehart Schlicht ()

No 1054, IZA Discussion Papers from Institute for the Study of Labor (IZA)

Abstract: 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.

Keywords: Hodrick-Prescott filter; Kalman filtering; Kalman-Bucy; state-space models; random walk; time-varying coefficients; adaptive estimation; time-series; seasonal adjustment; trend (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dev and nep-ets
Date: 2004-03
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Working Paper: Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter (2004)
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