English, Article, Journal or magazine article edition: A Complete Model-Based Interpretation of the Hodrick-Prescott Filter: Spuriousness Reconsidered Regina Kaiser; Agustín Maravall

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/158098
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Complete Model-Based Interpretation of the Hodrick-Prescott Filter: Spuriousness Reconsidered
Author
  • Regina Kaiser
  • Agustín Maravall
Physical Description
  • preprint
Notes
  • The Hodrick-Prescott filter applied to seasonally adjusted series has become a paradigm for business-cycle estimation at many economic agencies and institutions. We show that the filter can be obtained from MMSE estimation of the components in an unobserved component model, where the original series is decomposed into (long-term) trend, cyclical, seasonal, and (highlytransitory) irregular components. The component models are sensible and combine desirable “ad-hoc” features with series-dependent features that guarantee consistency with the data. The model-based framework provides improvements having to do with the precision of end-point estimation and the stability of the cyclical signal.
  • Business-cycle estimation, Stochastic cycles and trends, Unobserved Component Models, ARIMA models
  • RePEc:bde:wpaper:0208
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment