Evaluating Reliability of Some Symmetric and Asymmetric Univariate Filters

Anusha .

Abstract: This paper examines statistical reliability of univariate filters for estimation of trend in leading indicators of cyclical changes.

Keywords: Hodrick-Presscott filter; Penalized splines; Henderson smoothers in RKHS; end-of-sample reliability; leading indicators (search for similar items in EconPapers)
Date: 2016-05
Note: Institutional Papers
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Persistent link: https://EconPapers.repec.org/RePEc:ess:wpaper:id:10695

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