TY  - RPRT
        AU  - Schlicht, Ekkehart
        TI  - Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
        PY  - 2004/Mar/
        PB  - Institute of Labor Economics (IZA)
        CY  - Bonn
        T2  - IZA Discussion Paper
        IS  - 1054
        UR  - https://www.iza.org/publications/dp1054
        AB  - 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.
        KW  - time-varying coefficients
KW  - random walk
KW  - stat e-space models
KW  - Kalman-Bucy
KW  - Kalman filtering
KW  - Hodrick-Prescott filter
KW  - adaptive estimation
KW  - time-series
KW  - seasonal adjustment
KW  - trend
        ER  -