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Building confidence intervals for band-pass and Hodrick-Prescott filters: an application using bootstrapping

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  • Francisco Gallego
  • Christian Johnson

Abstract

This article generates innovative confidence intervals for two of the most popular de-trending methods: Hodrick-Prescott and band-pass filters. The confidence intervals are obtained using block-bootstrapping techniques for dependent data. GDP trend growth and output gap intervals for the G7 economies are used as examples. This new methodology increases the usefulness of these filters by overcoming the absence of confidence intervals.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/00036840500048985
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Bibliographic Info

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

Volume (Year): 37 (2005)
Issue (Month): 7 ()
Pages: 741-749

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Handle: RePEc:taf:applec:v:37:y:2005:i:7:p:741-749

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  1. Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band pass filter," Working Paper 9906, Federal Reserve Bank of Cleveland.
    • Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, 05.
  2. Marianne Baxter & Robert G. King, 1995. "Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series," NBER Working Papers 5022, National Bureau of Economic Research, Inc.
  3. Morten O. Ravn & Harald Uhlig, 2001. "On Adjusting the HP-Filter for the Frequency of Observations," CESifo Working Paper Series 479, CESifo Group Munich.
  4. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
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Cited by:
  1. Miroslav Plašil, 2011. "Potential Product, Output Gap and Uncertainty Rate Associated with Their Determination while Using the Hodrick-Prescott Filter," Politická ekonomie, University of Economics, Prague, vol. 2011(4), pages 490-507.
  2. Jesús Ferreyra & Jorge Salas, 2006. "The Equilibrium Real Exchange Rate in Peru: BEER Models and Confidence Band Building," Working Papers 2006-006, Banco Central de Reserva del Perú.

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