Selecting the tuning parameter of the l1 trend filter

被引：1
|
作者：
Yamada, Hiroshi [1 ]
Yoon, Gawon [2 ]
机构：
[1] Hiroshima Univ, Dept Econ, 1-2-1 Kagamiyama, Higashihiroshima 7398525, Japan
[2] Kookmin Univ, Dept Econ, Seoul 136702, South Korea
来源：
STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS | 2016年 / 20卷 / 01期
关键词：
Hodrick-Prescott filter; lasso; l(1) trend filter; sparsity; tuning parameter; ECONOMIC TIME-SERIES; BUSINESS CYCLES; REGRESSION; LASSO;
D O I：
10.1515/snde-2014-0089
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：97 / 105
页数：9
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