- 著者
- Ekkehart Schlicht
- 出版者
- THE JAPAN STATISTICAL SOCIETY
- 雑誌
- JOURNAL OF THE JAPAN STATISTICAL SOCIETY (ISSN:18822754)
- 巻号頁・発行日
- vol.35, no.1, pp.99-119, 2005 (Released:2006-01-19)
- 参考文献数
- 10
- 被引用文献数
- 34 40
This note gives a statistical description of the Hodrick-Prescott Filter (1997), originally proposed by Leser (1961). A maximum-likelihood estimator is derived and a related moments estimator is proposed that has a straightforward intuitive interpretation and coincides with the maximum-likelihood estimator for long time series. The method is illustrated by an application and several simulations. The statistical treatment in the state-space tradition implies some scepticism regarding the interpretation in terms of low-frequency filtering.