Several Least Squares Problems Related to the Hodrick-Prescott Filtering
Several Least Squares Problems Related to the Hodrick-Prescott Filtering
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与Hodrick-Prescott滤波相关的几个最小二乘问题
DOI：
10.1080/03610926.2017.1285934
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发表时间：
2018
期刊：
影响因子：
--
通讯作者：
H.
中科院分区：
文献类型：
--
作者：
Yamada;H.
Hodrick-Prescott（HP）滤波在宏观计量经济学中经常用于将时间序列（如真实的国内生产总值）分解为趋势和周期成分。由于HP滤波是一个基本的计量经济学工具，有必要有一个准确的理解它的性质，这篇文章有助于文献列出几个（惩罚）最小二乘问题，与HP滤波，其中三个是新介绍的文章，并显示其性质。我们还评论他们的泛化。
The Hodrick–Prescott (HP) filtering is frequently used in macroeconometrics to decompose time series, such as real gross domestic product, into their trend and cyclical components. Because the HP filtering is a basic econometric tool, it is necessary to have a precise understanding of the nature of it. This article contributes to the literature by listing several (penalized) least-squares problems that are related to the HP filtering, three of which are newly introduced in the article, and showing their properties. We also remark on their generalization.