A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK-PRESCOTT FILTER
A SMOOTHING METHOD THAT LOOKS LIKE THE HODRICK-PRESCOTT FILTER
复制标题
一种类似于 HODRICK-PRRESCOTT 滤波器的平滑方法
DOI：
10.1017/s0266466619000379
复制
发表时间：
2020
影响因子：
0.8
通讯作者：
Yamada Hiroshi
中科院分区：
文献类型：
--
作者：
高橋慎;大槻 忠史;Yamada Hiroshi
近几十年来，在宏观计量经济学时间序列分析的研究领域，我们已经观察到越来越多的人对称为Hodrick-Prescott（HP）滤波器的平滑方法感兴趣。本文研究了另一种平滑方法的特性，该方法看起来像HP滤波器，但不太为人所知。我们表明，这实际上是更像的指数平滑滤波器比HP滤波器，虽然它是通过一个轻微的修改的HP滤波器。此外，我们还证明了它也像Müller和沃森的低频投影（2018，Econometrica 86，775-804）。我们指出，这些结果来自于这样一个事实，即所有三个类似的平滑方法可以被看作是一类图谱滤波器，其图形傅立叶变换是离散余弦变换。然后，我们从理论上揭示了类似的平滑方法之间的关系，并提供了一种方法来指定的平滑参数，这是必要的，其应用。实证检验说明了结果。
In recent decades, in the research community of macroeconometric time series analysis, we have observed growing interest in the smoothing method known as the Hodrick–Prescott (HP) filter. This article examines the properties of an alternative smoothing method that looks like the HP filter, but is much less well known. We show that this is actually more like the exponential smoothing filter than the HP filter although it is obtainable through a slight modification of the HP filter. In addition, we also show that it is also like the low-frequency projection of Müller and Watson (2018, Econometrica 86, 775–804). We point out that these results derive from the fact that all three similar smoothing methods can be regarded as a type of graph spectral filter whose graph Fourier transform is discrete cosine transform. We then theoretically reveal the relationship between the similar smoothing methods and provide a way of specifying the smoothing parameter that is necessary for its application. An empirical examination illustrates the results.