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Can I read HPX filter: a hybrid of Hodrick–Prescott filter and multiple regression on EtoBox?
HPX filter: a hybrid of Hodrick–Prescott filter and multiple regression by Hiroshi Yamada is a Economics, Econometrics and Finance article available to read on EtoBox.
What is HPX filter: a hybrid of Hodrick–Prescott filter and multiple regression about?
## Abstract This paper considers an extension of Hodrick–Prescott (HP) filter. It is a hybrid of HP filter and multiple regression. We refer to the filter as “HPX filter”. It is well known that HP filter has a unique global minimizer and the solution can be represented in matrix notation explicitly. Does HPX filter also have a unique global minimizer? Is it accomplished without any additional assumptions? Can the solution be expressed in matrix notation explicitly? In this paper, we answer these questions. In addition, this paper (i) provides an alternative perspective on the filter by representing it as a generalized ridge regression and (ii) gives an extension of it, which is a hybrid of Whittaker–Henderson method of graduation and multiple regression.
Who reads HPX filter: a hybrid of Hodrick–Prescott filter and multiple regression?
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- Hiroshi Yamada
- Publisher
- Walter de Gruyter GmbH
- Published
- 2023
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)