Several least-squares problems related to the Hodrick–Prescott filtering

Hiroshi Yamada

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 5, 1022-1027

Abstract: The Hodrick–Prescott (HP) filtering is frequently used in macroeconometrics to decompose time series, such as real gross domestic product, into their trend and cyclical components. Because the HP filtering is a basic econometric tool, it is necessary to have a precise understanding of the nature of it. This article contributes to the literature by listing several (penalized) least-squares problems that are related to the HP filtering, three of which are newly introduced in the article, and showing their properties. We also remark on their generalization.

Date: 2018
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DOI: 10.1080/03610926.2017.1285934

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