TREND ESTIMATION AND THE HODRICK-PRESCOTT FILTER

Journal of the Japan Statistical Society. Japanese issue Pub Date : 2008-07-16 DOI:10.14490/JJSS.38.41

A. Harvey, T. Trimbur

引用次数: 98

Abstract

The article analyses the relationship between unobserved component trend-cycle models and the Hodrick-Prescott filter. Consideration is given to the consequences of using an inappropriate smoothing constant and the effect of changing the observation interval.

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趋势估计与hodrick-prescott滤波器

本文分析了未观测分量趋势周期模型与Hodrick-Prescott滤波器之间的关系。考虑了使用不适当的平滑常数的后果和改变观测间隔的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of the Japan Statistical Society. Japanese issue

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