Abstract
What we have suggested in the previous section is to estimate the cycle in steps. First, the AMB method is used to obtain the trend-cycle estimator \( \hat p_t \) (i.e., the noise-free SA series). In a second step, the HP filter is applied to \( \hat p_t \).
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© 2001 Springer Science+Business Media New York
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Kaiser, R., Maravall, A. (2001). Hodrick-Prescott Filtering Within a Model-Based Approach. In: Measuring Business Cycles in Economic Time Series. Lecture Notes in Statistics, vol 154. Springer, New York, NY. https://doi.org/10.1007/978-1-4613-0129-5_7
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DOI: https://doi.org/10.1007/978-1-4613-0129-5_7
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-95112-6
Online ISBN: 978-1-4613-0129-5
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