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The Hodrick-Prescott filter computes the non-linear trend {9t}_1 of an economic time series {y}_ by solving: T T-1 min { (1 - 906) +
The Hodrick-Prescott filter computes the non-linear trend {9t}_1 of an economic time series {y}_ by solving: T T-1 min { (1 - 906) + XE [(906+1 - 96) (96 - 1)]}. {9t}{_1 t=1 t=2 How does an increase in affect the behaviour of the cyclical component of yt? Explain.
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The smoothness penalty A has a significant impact on the shapes of the fitted trend and cycle func...
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Forecasting for Economics and Business
Authors: Gloria Gonzalez Rivera
1st edition
131474936, 978-1315510415, 1315510413, 978-0131474932
