Hodrick and Prescott (1997) proposed a smoothing method for economic time series usually known as the H-P method. They acknowledged that this method is equivalent to the Whittaker-Henderson graduation method in use among actuaries. The literature on smoothing methods based on their approach grew separately from the graduation literature, due to the usefulness
septiembre, 2012
A Bayesian Approach to the Hodrick-Prescott Filter
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