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