The Henderson Smoother in Reproducing Kernel Hilbert Space

Estelle Dagum and Silvia Bianconcini ()

Journal of Business & Economic Statistics, 2008, vol. 26, 536-545

Abstract: The Henderson smoother has been traditionally applied for trend-cycle estimation in the context of nonparametric seasonal adjustment software officially adopted by statistical agencies. This study introduces a Henderson third-order kernel representation by means of the reproducing kernel Hilbert space (RKHS) methodology. Two density functions and corresponding orthonormal polynomials have been calculated. Both are shown to give excellent representations for short- and medium-length filters. Theoretical and empirical comparisons of the Henderson third-order kernel asymmetric filters are made with the classical ones. The former are shown to be superior in terms of signal passing, noise suppression, and revision size.

Date: 2008
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