| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5055274 | Economic Modelling | 2012 | 8 Pages |
Abstract
⺠The Hodrick-Prescott filter is extended by assuming two kinds of trend system noise. ⺠One has a large variance causing trend breaks. ⺠The other has a small variance causing smooth movements in the trend. ⺠The number and location of trend breaks are determined by information criteria. ⺠Empirical and Monte Carlo studies show the efficacy of the proposed model.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Kosei Fukuda,