Endogenous Nonparametric Trend Estimation for Economic Data—An Enhanced Alternative to the Hodrick-Prescott Filter
The most widely used method for trend estimation in economics is the Hodrick-Prescott (HP) filter. The HP filter has various disadvantages, such as the arbitrary, frequency-dependent choice of the smoothing parameter λ, boundary problems, and difficult interpretation when linking to economic theory....
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| Principais autores: | , , |
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| Format: | Artigo |
| Jezik: | Inglês |
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MDPI AG
2026-05-01
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| Serija: | Mathematics |
| Teme: | |
| Online dostop: | https://www.mdpi.com/2227-7390/14/11/1870 |
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