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Sakarya, Neslihan and Jong, Robert M (2022) The spectral analysis of the Hodrick–Prescott filter. Journal of Time Series Analysis, 43 (3). pp. 479-489. DOI https://doi.org/10.1111/jtsa.12622
Sakarya, Neslihan and de Jong, Robert M (2022) Negative powers of integrated processes. Econometric Theory, 38 (2). pp. 339-369. DOI https://doi.org/10.1017/s026646662100013x
Sakarya, Neslihan and de Jong, Robert M (2020) A property of the Hodrick-Prescott filter and its application. Econometric Theory, 36 (5). pp. 840-870. DOI https://doi.org/10.1017/S0266466619000331
de Jong, RM and Sakarya, N (2016) The Econometrics of the Hodrick-Prescott Filter. Review of Economics and Statistics, 98 (2). pp. 310-317. DOI https://doi.org/10.1162/REST_a_00523