JOURNAL OF THE JAPAN STATISTICAL SOCIETY
Online ISSN : 1348-6365
Print ISSN : 1882-2754
ISSN-L : 1348-6365
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Trend Estimation and the Hodrick-Prescott Filter
Andrew Harvey, Thomas Trimbur
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Keywords: Signal-noise ratios, smoothing constant, stochastic cycles, stochastic trends, unobserved components models
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2008 Volume 38 Issue 1 Pages 41-49

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Abstract

The article analyses the relationship between unobserved component trend-cycle models and the Hodrick-Prescott filter. Consideration is given to the consequences of using an inappropriate smoothing constant and the effect of changing the observation interval.

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© 2008 Japan Statistical Society
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