A Bayesian Approach to the Hodrick-Prescott Filter
A Bayesian Approach to the Hodrick-Prescott Filter
Realidad, datos y espacio. Revista Internacional de Estadística y Geografía
Hodrick and Prescott (1997) proposed a smoothing method for economic time series usually known as the H-P method. They acknowledged that this method is equivalent to the Whittaker-Henderson graduation method in use among actuaries. The literature on smoothing methods based on their approach grew separately from the graduation literature, due to the usefulness of identifying economic cycles. Both the Whittaker-Henderson and the H-P methods require the specification of a particular constant, the smoothing constant, usually identified as λ. The specification is arbitrary. In this paper we present a Bayesian approach to both methods that is similar to previous analyses but using MCMC methods. In addition Hodrick and Prescott's λ is obtained as a Bayesian estimator.
Hodrick y Prescott (1997) propusieron un método de suavizamiento para series de tiempo económicas conocido como el filtro H-P. Ellos se percataron de que este método es equivalente al método de graduación de Whittaker-Henderson usado en aplicaciones actuariales. La literatura de métodos de suavizamiento basada en su enfoque avanzó de forma aislada a la correspondiente a la graduación debido a su utilidad para detectar ciclos económicos. Tanto la graduación de Whittaker-Henderson como el filtro H-P requieren la especificación de una constante, la de suavizamiento, usualmente denotada por λ. La especificación de ésta suele ser arbitraria. En este artículo presentamos un enfoque bayesiano para ambos métodos que es similar a los análisis previos, pero hace uso de los métodos de estimación Monte Carlo basado en Cadenas de Markov. Adicionalmente, la constante λ de Hodrick y Prescott es obtenida como un estimador bayesiano.
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Journal Title: | Realidad, datos y espacio. Revista Internacional de Estadística y Geografía |
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First author: | Enrique De Alba |
Other Authors: | Sergio Gómez |
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Language: | English Spanish |
Get full text: | http://www.inegi.org.mx/rde/2012/09/13/a-bayesian-approach-to-the-hodrick-prescott-filter/ |
Resource type: | Journal Article |
Source: | Realidad, datos y espacio. Revista Internacional de Estadística y Geografía; Vol 3, No 3 (Year 2012). |
Publisher: | Instituto Nacional de Estadística y Geografía |
Usage rights: | Se permite la reproducción total o parcial del material incluido en la revista, siempre y cuando se cite la fuente, incluyendo el nombre del autor, el nombre y número de la revista. |
Categories: | Social Sciences/Humanities --> Economics Social Sciences/Humanities --> Geography Physical/Engineering Sciences --> Statistics --AMP-- Probability |
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