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
Authors:	Giles, David E. A.
Publisher:	[S.l.] : SSRN
Subject:	Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory \| Konjunktur \| Business cycle

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Extent:	1 Online-Ressource (9 p)
Series:	Victoria University of Wellington Legal Research Paper ; No. EWP1202
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 17, 2012 erstellt
Other identifiers:	10.2139/ssrn.2049534 [DOI]
Classification:	C13 - Estimation ; C20 - Econometric Methods: Single Equation Models. General ; E3 - Prices, Business Fluctuations, and Cycles
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014170107