%0 Report
        %A Schlicht, Ekkehart
        %T Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
        %D 2004
        %8 2004 Mar
        %I Institute of Labor Economics (IZA)
        %C Bonn
        %7 IZA Discussion Paper
        %N 1054
        %U https://www.iza.org/index.php/publications/dp1054
        %X This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997)
which has been proposed in the context of my seasonal adjustment method (Schlicht 1981,
1984). A statistics estimator for the smoothing parameter is proposed that is asymptotically
equivalent to the maximum-likelihood estimator and has a straightforward intuitive
interpretation. The method is illustrated by an application and several simulations.
        %K time-varying coefficients
%K random walk
%K stat e-space models
%K Kalman-Bucy
%K Kalman filtering
%K Hodrick-Prescott filter
%K adaptive estimation
%K time-series
%K seasonal adjustment
%K trend