Selecting the tuning parameter of the ℓ 1 trend filter

Selecting the tuning parameter of the ℓ 1 trend filter Abstract The ℓ 1 trend filter, which is similar to the popular Hodrick–Prescott (HP) filter, seems to be very promising because it enables us to estimate a piecewise linear trend without specifying the location and number of kink points a priori . Such a trend may be regarded as a result of occasional permanent shocks to the growth rate. Similarly to the HP filter, the value of the tuning parameter needs to be selected in applying this filter. This paper proposes a method for selecting the tuning parameter of the ℓ 1 trend filter and its generalization. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Studies in Nonlinear Dynamics & Econometrics de Gruyter

Selecting the tuning parameter of the ℓ 1 trend filter

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Publisher
de Gruyter
Copyright
Copyright © 2016 by the
ISSN
1081-1826
eISSN
1558-3708
DOI
10.1515/snde-2014-0089
Publisher site
See Article on Publisher Site

Abstract

Abstract The ℓ 1 trend filter, which is similar to the popular Hodrick–Prescott (HP) filter, seems to be very promising because it enables us to estimate a piecewise linear trend without specifying the location and number of kink points a priori . Such a trend may be regarded as a result of occasional permanent shocks to the growth rate. Similarly to the HP filter, the value of the tuning parameter needs to be selected in applying this filter. This paper proposes a method for selecting the tuning parameter of the ℓ 1 trend filter and its generalization.

Journal

Studies in Nonlinear Dynamics & Econometricsde Gruyter

Published: Feb 1, 2016

References

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