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Abstract

By noting that the Hodrick--Prescott (H--P) filter can be used 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 US data for real value-added output and monthly US data for the unemployment rate.

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File URL: http://hdl.handle.net/10.1080/13504851.2012.714057
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Bibliographic Info

Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 20 (2013)
Issue (Month): 5 (March)
Pages: 480-484

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Handle: RePEc:taf:apeclt:v:20:y:2013:i:5:p:480-484

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Find related papers by JEL classification:

• C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
• C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
• E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

References

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1. Wolfgang Polasek, 2011. "The Hodrick-Prescott (HP) Filter as a Bayesian Regression Model," Working Paper Series 46_11, The Rimini Centre for Economic Analysis, revised Jan 2012.
   
   • Polasek, Wolfgang, 2011. "The Hodrick-Prescott (HP) Filter as a Bayesian Regression Model," Economics Series 277, Institute for Advanced Studies.
2. Danthine, Jean-Pierre & Girardin, Michel, 1989. "Business cycles in Switzerland : A comparative study," European Economic Review, Elsevier, vol. 33(1), pages 31-50, January.
3. Schlicht, Ekkehart, 2004. "Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter," Discussion Papers in Economics 304, University of Munich, Department of Economics.
   
   • Schlicht, Ekkehart, 2004. "Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter," IZA Discussion Papers 1054, Institute for the Study of Labor (IZA).
4. Ravn, M.O. & Uhlig, H., 2002. "On adjusting the Hodrick-Prescott Filter for the frequency of observations," Open Access publications from University College London http://discovery.ucl.ac.u, University College London.
   
   • Morten O. Ravn & Harald Uhlig, 2002. "On adjusting the Hodrick-Prescott filter for the frequency of observations," The Review of Economics and Statistics, MIT Press, vol. 84(2), pages 371-375.

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Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:

1. More on Confidence Bands for the HP Filter
   by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-04-20 15:25:00
2. More on Confidence Bands for the HP Filter
   by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-04-20 15:25:00
3. Hodrick-Prescott Filter Paper
   by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-07-16 18:32:00

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