Constructing Confidence Bands for the Hodrick-Prescott Filter

By noting that the Hodrick-Prescott filter can be expressed as the solution to a particular regression problem, we are able to show how to construct confidence bands for the filtered time-series. This procedure requires that the data are stationary. The construction of such confidence bands is illustrated using annual U.S. data for real value-added output; and monthly U.S. data for the unemployment rate.

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Year of publication:	2012-04-19
Authors:	Giles, David E.
Institutions:	Department of Economics, University of Victoria
Subject:	Hodrick-Prescott filter \| time-series decomposition \| confidence bands

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Extent:	application/pdf
Series:	Econometrics Working Papers.
Type of publication:	Book / Working Paper
Notes:	ISSN 1485-6441 Number 1202 9 pages
Classification:	C13 - Estimation ; C20 - Econometric Methods: Single Equation Models. General ; E3 - Prices, Business Fluctuations, and Cycles
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010898272