Working Paper

Maximum likelihood estimation with HP filtered data: an invariance theorem


Abstract: Applying the Hodrick-Prescott filter to both the approximating model and the data adds a constant to the log-likelihood function. Thus, maximum likelihood estimates and likelihood ratio statistics are invariant to symmetric HP filtering.

Keywords: Business cycles;

Authors

Bibliographic Information

Provider: Federal Reserve Bank of San Francisco

Part of Series: Working Papers in Applied Economic Theory

Publication Date: 1994

Number: 94-12