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

抄録

This note gives a statistical description of the Hodrick-Prescott Filter (1997), originally proposed by Leser (1961). A maximum-likelihood estimator is derived and a related moments estimator is proposed that has a straightforward intuitive interpretation and coincides with the maximum-likelihood estimator for long time series. The method is illustrated by an application and several simulations. The statistical treatment in the state-space tradition implies some scepticism regarding the interpretation in terms of low-frequency filtering.