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Original Articles

A modification of the Whittaker–Henderson method of graduation

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Pages 3795-3800 | Received 25 Nov 2017, Accepted 18 May 2018, Published online: 30 Oct 2018

References

  • Hodrick, R. J., and E. C. Prescott. 1997. Postwar U.S. business cycles: An empirical investigation. Journal of Money, Credit and Banking 29 (1):1–16.
  • Mohr, M. 2005. A trend-cycle(-season) filter. European Central Bank Working Paper, No. 499.
  • Nocon, A. S., and W. F. Scott. 2012. An extension of the Whittaker–Henderson method of graduation. Scandinavian Actuarial Journal 2012 (1):70–9.
  • Phillips, P. C. B. 2010. Two New Zealand pioneer econometricians. New Zealand Economic Papers 44: 1–26.
  • Yamada, H. 2017. A small but practically useful modification to the Hodrick–Prescott filtering: A note. Communications in Statistics – Theory and Methods 46 (17):8430–4.
  • Yamada, H. 2018. Why does the trend extracted by the Hodrick–Prescott filtering seem to be more plausible than the linear trend? Applied Economics Letters 25 (2):102–5.
  • Weinert, H. L. 2007. Efficient computation for Whittaker–Henderson smoothing. Computational Statistics and Data Analysis 52:959–74.
  • Whittaker, E. T. 1923. On a new method of graduation. Proceedings of the Edinburgh Mathematical Society 41:63–75.

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