Hodrick-Prescott Filtering Within a Model-Based Approach
What we have suggested in the previous section is to estimate the cycle in steps. First, the AMB method is used to obtain the trend-cycle estimator \( \hat p_t \) (i.e., the noise-free SA series). In a second step, the HP filter is applied to \( \hat p_t \).
KeywordsCovariance Autocorrelation Crosscorrelation Sorb Estima
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