IZA DP No. 1054: Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
published in: Journal of the Japan Statistical Society, 2005, 35 (1), 99-119
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.