Business cycles, trend elimination, and the HP filter

Business cycles, trend elimination, and the HP filter

Trend elimination and business cycle estimation are analyzed by finite sample and asymptotic methods. An overview history is provided, operator theory is developed, limit theory as the sample size n → ∞ is derived, and filtered series properties are studied relative to smoothing parameter (λ) behavi...

Full description

Saved in:
Bibliographic Details
Main Authors: PHILLIPS, Peter C. B., JIN, Sainan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2021
Subjects:
Detrending
Graduation
Hodrick Prescott filter
Integrated process
Limit theory
Smoothing
Trend break
Whittaker filter
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2423
https://ink.library.smu.edu.sg/context/soe_research/article/3422/viewcontent/BusinessCycles_HPfilter_av.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2423
https://ink.library.smu.edu.sg/context/soe_research/article/3422/viewcontent/BusinessCycles_HPfilter_av.pdf

Similar Items