文章基本信息

标题：Trend Estimation and the Hodrick-Prescott Filter
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作者：Andrew Harvey ; Thomas Trimbur
期刊名称：JOURNAL OF THE JAPAN STATISTICAL SOCIETY
印刷版ISSN：1882-2754
电子版ISSN：1348-6365
出版年度：2008
卷号：38
期号：1
页码：41-49
DOI：10.14490/jjss.38.41
出版社：JAPAN STATISTICAL SOCIETY
摘要：The article analyses the relationship between unobserved component trend-cycle models and the Hodrick-Prescott filter. Consideration is given to the consequences of using an inappropriate smoothing constant and the effect of changing the observation interval.
关键词：Signal-noise ratios;smoothing constant;stochastic cycles;stochastic trends;unobserved components models