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I am making some simulation in order to show the performance of the Spline Regression vs other methods like Smoothing Splines, Hodric Prescott filter, etc., I would like to knot if it's better to sample the dependent variable $X$ out of a uniform distribution rather than fixing them to be equidistant. I know that it depends on what I want to do, if I am trying to approximate a signal that is sampled each 1 second, then the observations will be equidistant, but is it better to test the performance in a more general case to sample $X$ ?

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  • $\begingroup$ That's going to depend entirely upon your application area. The key question is: what does your actual data look like? If it's sampled each second, as you say, then you'll learn more from your simulation study by duplicating that than by constructing $X$ in some other way. $\endgroup$
    – jbowman
    Mar 12, 2019 at 19:15
  • $\begingroup$ Just a comment, I would not use HP filter with a non-equidistant X. $\endgroup$
    – Gi_F.
    Mar 14, 2019 at 12:20

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