Exponential smoothing and spurious correlation: a note
Keith Blackburn, Felipe Orduña-Bustamante, Martín Solà · Applied Economics Letters · 1995
Exponential smoothing can introduce spurious auto-correlation in detrended data. The extent of this depends on the length of lag, the value of the smoothing parameter and the nature of the input process. The most widely-used version of exponential smoothing is the Hodrick-Prescott low-frequency filter.