Maximum likelihood estimation with HP filtered data: an invariance theorem

Timothy Cogley ()

No 94-12, Working Papers in Applied Economic Theory from Federal Reserve Bank of San Francisco

Abstract: Applying the Hodrick-Prescott filter to both the approximating model and the data adds a constant to the log-likelihood function. Thus, maximum likelihood estimates and likelihood ratio statistics are invariant to symmetric HP filtering.

Keywords: Business; cycles (search for similar items in EconPapers)
Date: 1994
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