Not logged in.

Contribution Details

Type Journal Article
Scope Discipline-based scholarship
Title Least-Squares Filter versus Hodrick-Prescott Filter
Organization Unit
Authors
  • Hans-Jürg Büttler
Item Subtype Original Work
Refereed No
Status Published in final form
Language
  • English
Journal Title Economic & financial modelling
Publisher European Economics and Financial Centre
Geographical Reach international
ISSN 1350-7419
Volume 14
Number 4
Page Range 153 - 198
Date 2007
Abstract Text This paper introduces a new filter, called least-squares (LS) filter, as an alternative to the widely used Hodrick-Prescott (HP) filter. The LS filter has two properties which distinguish it from the HP filter. First, the LS filter rather than the HP filter uses first differences as a measure of the smoothness of a nowhere differentiable random variable. Second, the LS filter rather than the HP filter uses a reference time series to avoid the subjective choice of weights.
Other Identification Number merlin-id:6752
Export BibTeX
EP3 XML (ZORA)