Trend Estimation and the Hodrick-Prescott Filter
Author:
Affiliation:
1. Faculty of Economics, University of Cambridge
2. Division of Research and Statistics, Federal Reserve System
Publisher
The Japan Statistical Society
Link
https://www.jstage.jst.go.jp/article/jjss/38/1/38_1_41/_pdf
Reference12 articles.
1. (1)Akaike, H. (1980). Seasonal adjustment by a Bayesian modeling, Journal of Time Series Analysis, 1, 1–13.
2. (2)Chambers, M. J. and McGarry, J. (2002). Modeling cyclical behaviour with differential-difference equations in an unobserved components framework, Econometric Theory, 18, 387–419.
3. (3)Gomez, V. (2001). The use of Butterworth filters for trend and cycle estimation in economic time series, Journal of Business and Economic Statistics, 19, 365–373.
4. (4)Harvey, A. C. (1989). Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge University Press, Cambridge.
5. (5)Harvey, A. C. and Jaeger, A. (1993). Detrending, stylised facts and the business cycle, Journal of Applied Econometrics, 8, 231–247.
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