Several least-squares problems related to the Hodrick–Prescott filtering |
| |
Authors: | Hiroshi Yamada |
| |
Institution: | Department of Economics, Hiroshima University, Higashi-Hiroshima, Japan |
| |
Abstract: | The Hodrick–Prescott (HP) filtering is frequently used in macroeconometrics to decompose time series, such as real gross domestic product, into their trend and cyclical components. Because the HP filtering is a basic econometric tool, it is necessary to have a precise understanding of the nature of it. This article contributes to the literature by listing several (penalized) least-squares problems that are related to the HP filtering, three of which are newly introduced in the article, and showing their properties. We also remark on their generalization. |
| |
Keywords: | Hodrick–Prescott filtering Penalized least squares Whittaker–Henderson method of graduation |
|
|