论文信息 - Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter

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

This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997) which has been proposed in the context of my seasonal adjustment method (Schlicht 1981, 1984). A statistics estimator for the smoothing parameter is proposed that is asymptotically equivalent to the maximum-likelihood estimator and has a straightforward intuitive interpretation. The method is illustrated by an application and several simulations.

Ekkehart Schlicht

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