Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter

Ekkehart Schlicht

No 1054, IZA Discussion Papers from Institute of Labor Economics (IZA)

Abstract: This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997) which has been proposed in the context of my seasonal adjustment method (Schlicht 1981, 1984). A statistics estimator for the smoothing parameter is proposed that is asymptotically equivalent to the maximum-likelihood estimator and has a straightforward intuitive interpretation. The method is illustrated by an application and several simulations.

Keywords: time-varying coefficients; random walk; stat e-space models; Kalman-Bucy; Kalman filtering; Hodrick-Prescott filter; adaptive estimation; time-series; seasonal adjustment; trend (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2004-03
New Economics Papers: this item is included in nep-dev and nep-ets
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Citations: View citations in EconPapers (22)

Published - published in: Journal of the Japan Statistical Society, 2005, 35 (1), 99-119

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Working Paper: Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter (2004)
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