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The hodrick-prescott filter: A special case of penalized spline smoothing

Research output: Contribution to journalArticlepeer-review

Original languageEnglish
Pages (from-to)856-874
Number of pages19
JournalElectronic Journal of Statistics
Volume4
DOIs
StatePublished - 2010

ASJC Scopus Subject Areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Keywords

  • Econometric smoothing
  • Gross national product
  • Parametric bootstrap confidence interval
  • Saddlepoint approximation
  • Semiparametric model

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