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Boosting: Why You Can Use the HP Filter
[article]
2020
arXiv
pre-print
The Hodrick-Prescott (HP) filter is one of the most widely used econometric methods in applied macroeconomic research. Like all nonparametric methods, the HP filter depends critically on a tuning parameter that controls the degree of smoothing. Yet in contrast to modern nonparametric methods and applied work with these procedures, empirical practice with the HP filter almost universally relies on standard settings for the tuning parameter that have been suggested largely by experimentation with
arXiv:1905.00175v3
fatcat:3ljmg6deevcmzgvs4hykmlqcx4