A0790
Title: Some properties of the quantile regression version of Hodrick-Prescott filtering
Authors: Hiroshi Yamada - Hiroshima University (Japan) [presenting]
Abstract: The quantile regression version of Hodrick-Prescott filtering enables us to estimate not only the median trend, which is more robust to outliers than HP filtering, but also other quantile trends, which may provide a deeper understanding of time series properties. Some properties of the filtering are reported.
