In this paper, we consider a version of the functional Hodrick-Prescott filter for functional time series. We show that the associated optimal smoothing operator preserves the ‘noise-to-signal ratio’ structure. Moreover, as the main result, we propose a consistent estimator of this optimal smoothing operator
The article explores and illustrates some of the typical trade-offs which arise in designing filters...
This paper studies how the Hodrick-Prescott filter should be adjusted when changing the frequency of...
Bei der Analyse ökonomischer/historischer Zeitreihen ist die Bestimmung des Trends seit langem eines...
The univariate Hodrick-Prescott filter depends on the noise-to-signal ratio that acts as a smooth-in...
ABSTRACT. This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (...
This note gives a statistical description of the Hodrick-Prescott Filter (1997), originally proposed...
The univariate Hodrick-Prescott filter depends on the noise-to-signal ratio that acts as a smoothing...
We derive the exact expression for the weights of the Hodrick-Prescott (HP) filter in finite sample ...
The Hodrick-Prescott (HP) filter is a commonly used tool in macroeconomics used to extract a trend c...
The Hodrick-Prescott filter is the probably most popular tool for trend estimation in economics. Com...
This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997), ori...
Abstract The Hodrick-Prescott filter is often applied to economic series as part of the study of bus...
We prove that the Hodrick-Prescott Filter (HPF), a commonly used method for smoothing econometric ti...
We provide a common approach for studying several nonparametric estimators used for smoothing functi...
An electronic version of the paper may be downloaded • from the SSRN website: www.SSRN.com • ...
The article explores and illustrates some of the typical trade-offs which arise in designing filters...
This paper studies how the Hodrick-Prescott filter should be adjusted when changing the frequency of...
Bei der Analyse ökonomischer/historischer Zeitreihen ist die Bestimmung des Trends seit langem eines...
The univariate Hodrick-Prescott filter depends on the noise-to-signal ratio that acts as a smooth-in...
ABSTRACT. This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (...
This note gives a statistical description of the Hodrick-Prescott Filter (1997), originally proposed...
The univariate Hodrick-Prescott filter depends on the noise-to-signal ratio that acts as a smoothing...
We derive the exact expression for the weights of the Hodrick-Prescott (HP) filter in finite sample ...
The Hodrick-Prescott (HP) filter is a commonly used tool in macroeconomics used to extract a trend c...
The Hodrick-Prescott filter is the probably most popular tool for trend estimation in economics. Com...
This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997), ori...
Abstract The Hodrick-Prescott filter is often applied to economic series as part of the study of bus...
We prove that the Hodrick-Prescott Filter (HPF), a commonly used method for smoothing econometric ti...
We provide a common approach for studying several nonparametric estimators used for smoothing functi...
An electronic version of the paper may be downloaded • from the SSRN website: www.SSRN.com • ...
The article explores and illustrates some of the typical trade-offs which arise in designing filters...
This paper studies how the Hodrick-Prescott filter should be adjusted when changing the frequency of...
Bei der Analyse ökonomischer/historischer Zeitreihen ist die Bestimmung des Trends seit langem eines...