Hodrick-Prescott Filtering Within a Model-Based Approach

  • Regina Kaiser
  • Agustín Maravall
Part of the Lecture Notes in Statistics book series (LNS, volume 154)

Abstract

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 \( \hat p_t \).

Keywords

Covariance Autocorrelation Crosscorrelation Sorb Estima 

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Copyright information

© Springer Science+Business Media New York 2001

Authors and Affiliations

  • Regina Kaiser
    • 1
  • Agustín Maravall
    • 2
  1. 1.D. de Estadística y EconometríaUniversidad Carlos III de MadridGetafeSpain
  2. 2.Servicio de EstudiosBanco de EspañaMadridSpain

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