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boosted_hp_filter's Introduction

Associate Professor

  • Department of Economics, the Chinese University of Hong Kong

I work on econometric theory, with focus on estimation and inference of machine learning methods for economic and financial applications.

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11haoyu avatar chenyang45 avatar shenshuuu avatar zhentaoshi avatar

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chenyang45 lnsongxf abyanka louiszhuang sdbrinkmann liuhongbo830117 jiazichen111 ccfgtt7071018 scarifdiver macrofinancehub hkdavid2008 shizelong1985 hellolj karl-0816 allisterh schoulten 11haoyu

boosted_hp_filter's Issues

Difference between k-th order filter and boosted hp filter

Hi there,

We usually name 1st order filter as l1 trend filter and 2nd order filter as hp filter. Actually Tibshirani had extended the filter to k-th order in Adaptive piecewise polynomial estimationvia trend filtering. I didn't do any mathematic proof, but the boosted hp filter curve looks pretty close to the k-th order one. Just wondering if there is any potential relationship between them. Thanks very much!

Best,

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