Exponential smoothing and spurious correlation: a note

Keith Blackburn, Felipe Orduna and Martin Sola

Applied Economics Letters, 1995, vol. 2, issue 3, 76-79

Abstract: Exponential smoothing can introduce spurious auto-correlation in detrended data. The extent of this depends on the length of lag, the value of the smoothing parameter and the nature of the input process. The most widely-used version of exponential smoothing is the Hodrick-Prescott low-frequency filter.

Date: 1995
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DOI: 10.1080/135048595357618

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