The Hodrick Prescott filter computes the non linear trend 9t 1 of an economic time series y by solving T T 1 min (1 906) XE (906 1 96) (96 1) 9t 1 t 1 t 2 How does an increase in affect the behaviour of the cyclical component of yt Explain The Hodrick Prescott filter computes the non linear trend ...

The smoothness penalty A has a significant impact on the shapes of the fitted trend and cycle func ...

The Hodrick-Prescott filter computes the non-linear trend {9t}_1 of an economic time series {y}_ by solving:...

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Forecasting for Economics and Business

ISBN: 978-0131474932

1st edition

Authors: Gloria Gonzalez Rivera

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The Hodrick-Prescott filter computes the non-linear trend {9t}_1 of an economic time series {y}_ by solving:...

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Forecasting for Economics and Business

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