Estimating the Trend in US Real GDP Using the l1 Trend Filtering
Estimating the Trend in US Real GDP Using the l1 Trend Filtering
复制标题
使用 l1 趋势过滤估计美国实际 GDP 的趋势
DOI：
10.1080/13504851.2016.1223811
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发表时间：
2017
影响因子：
1.6
通讯作者：
Hiroshi Yamada
中科院分区：
文献类型：
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作者：
Yamada;H.;Hiroshi Yamada
Perron and Wada（2009，Journal of Monetary Economics，56，749-765）使用非高斯状态空间模型，获得了美国真实的国内生产总值（GDP）的近似分段线性趋势估计，其斜率在1973年前后发生了变化。这种趋势可被视为增长率偶尔受到长期冲击的结果。本文证明了与Hodrick-Prescott滤波非常相似的趋势滤波是最近流行的Lasso回归的一种类型，它产生几乎相同的趋势估计，并讨论了出现这种情况的原因。
Using non-Gaussian state-space models, Perron and Wada (2009, Journal of Monetary Economics, 56, 749–765) obtained a nearly piecewise linear trend estimate of US real gross domestic product such that its slope changed around 1973. Such a trend may be regarded as a result of occasional permanent shocks to the growth rate. This article shows that the trend filtering, which is quite similar to the Hodrick–Prescott filtering and is a type of the recently popular lasso regression, yields almost the same trend estimate, and discusses the reason why this occurs.