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

Ekkehart Schlicht

Discussion Papers in Economics from University of Munich, Department of Economics

Abstract: This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997), originally proposed by Leser (1961). It builds on an approach to seasonal adjustment suggested by Leser (1963) and Schlicht (1981, 1984). A moments estimator for the smoothing parameter is proposed that is asymptotically equivalent to the maximum-likelihood estimator, has a straightforward intuitive interpretation and is more appropriate for short series than the maximum-likelihood estimator. The method is illustrated by an application and several simulations.

Keywords: Hodrick-Prescott filter; Kalman filter; Kalman-Bucy; Whittaker-Henderson graduation; spline; state-space models; random walk; time-varying coefficients; adaptive estimation; time-series; seasonal adjustment; trend (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2004-02
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:lmu:muenec:304

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