HPX滤波器:Hodrick-Prescott滤波器和多元回归的混合

IF 0.7 4区经济学 Q3 ECONOMICS

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-06-26 DOI:10.1515/snde-2023-0004

H. Yamada

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引用次数: 0

摘要

本文研究了hdrick - prescott (HP)滤波器的一种扩展。它是HP滤波和多元回归的混合。我们把这个滤镜称为“HPX滤镜”。众所周知，HP滤波器具有唯一的全局最小值，其解可以明确地用矩阵表示。HPX滤镜是否也有一个唯一的全局最小化器?它是在没有任何额外假设的情况下完成的吗?解可以明确地用矩阵表示吗?在本文中，我们回答了这些问题。此外，本文(i)通过将其表示为广义岭回归提供了对滤波器的另一种视角，(ii)给出了它的扩展，这是Whittaker-Henderson方法和多元回归的混合。

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HPX filter: a hybrid of Hodrick–Prescott filter and multiple regression

Abstract This paper considers an extension of Hodrick–Prescott (HP) filter. It is a hybrid of HP filter and multiple regression. We refer to the filter as “HPX filter”. It is well known that HP filter has a unique global minimizer and the solution can be represented in matrix notation explicitly. Does HPX filter also have a unique global minimizer? Is it accomplished without any additional assumptions? Can the solution be expressed in matrix notation explicitly? In this paper, we answer these questions. In addition, this paper (i) provides an alternative perspective on the filter by representing it as a generalized ridge regression and (ii) gives an extension of it, which is a hybrid of Whittaker–Henderson method of graduation and multiple regression.

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来源期刊

Studies in Nonlinear Dynamics and Econometrics Multiple-

CiteScore

1.40

自引率

12.50%

发文量

期刊介绍： Studies in Nonlinear Dynamics & Econometrics (SNDE) recognizes that advances in statistics and dynamical systems theory may increase our understanding of economic and financial markets. The journal seeks both theoretical and applied papers that characterize and motivate nonlinear phenomena. Researchers are required to assist replication of empirical results by providing copies of data and programs online. Algorithms and rapid communications are also published.