Not logged in.
Quick Search - Contribution
Contribution Details
Type | Journal Article |
Scope | Discipline-based scholarship |
Title | Least-Squares Filter versus Hodrick-Prescott Filter |
Organization Unit | |
Authors |
|
Item Subtype | Original Work |
Refereed | No |
Status | Published in final form |
Language |
|
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) |