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.
Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"
Home Page: https://zhentaoshi.github.io/Boosted_HP_filter/
License: MIT License
Associate Professor
I work on econometric theory, with focus on estimation and inference of machine learning methods for economic and financial applications.
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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