Ridge Regression Representations of the Generalized Hodrick-Prescott Filter

• Yamada Hiroshi

  Department of Economics, Hiroshima University

Abstract

The Hodrick-Prescott (HP) filter is a popular econometric tool for estimating the trend component of a given time series. Paige and Trindade (2010) present a ridge regression representation of the HP filter, which enhances our understanding of the filter. Schlicht (2005) presents another ridge regression representation of the HP filter. In this paper, we aim to generalize their results. In addition, we present an orthogonal decomposition of the generalized HP trend and newly introduce the pure generalized HP filter.

Journal

• JOURNAL OF THE JAPAN STATISTICAL SOCIETY

  JOURNAL OF THE JAPAN STATISTICAL SOCIETY 45 (2), 121-128, 2015

  THE JAPAN STATISTICAL SOCIETY

Keywords

• Hodrick-Prescott filter
• ridge regression
• Whittaker-Henderson method of graduation

Details

• CRID: 1390001205286571648
• NII Article ID: 130005266626
• NII Book ID: AA1105098X
• DOI: 10.14490/jjss.45.121
• ISSN: 13486365
• ISSN: 18822754
• NDL BIB ID: 027273053
• Web Site: http://id.ndl.go.jp/bib/027273053
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I027273053
• Web Site: https://www.jstage.jst.go.jp/article/jjss/45/2/45_121/_pdf
• Text Lang: en
• Data Source:
  • JaLC
  • NDL
  • Crossref
  • CiNii Articles
  • KAKEN
• Abstract License Flag: Disallowed