coordinate transformation to re-orient coordinates and accommodate the degeneracy. The resulting asymptotic theory is …

coordinate transformation to re-orient coordinates and accommodate the degeneracy. The resulting asymptotic theory is …

Whittaker (1923) and popularized in economics in a particular form by Hodrick and Prescott (1980/1997; HP). A limit theory is …' process. Simulations reveal that the lambda = O(n^4) limit theory provides a good approximation to the actual HP filter for …