@TechReport{iza:izadps:dp1054,
            	author={Schlicht, Ekkehart},
            	title={Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter},
            	year={2004},
	month={Mar},
            	institution={Institute of Labor Economics (IZA)},
            	address={Bonn},
            	type={IZA Discussion Paper},
            	number={1054},
            	url={https://www.iza.org/publications/dp1054},
	abstract={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.},
	keywords={time-varying coefficients;random walk;stat e-space models;Kalman-Bucy;Kalman filtering;Hodrick-Prescott filter;adaptive estimation;time-series;seasonal adjustment;trend},
            }