Building Confidence Intervals for the Band-Pas and Hodrick-Prescott Filters: An Application using Bootstrapping
AbstractThis 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. As an example, we present GDP trend growth and output gap intervals for the G7 economies. This new methodology will increase the usefulness of these filters by overcoming the absence of confidence intervals.
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2003 with number 15.
Date of creation: 01 Aug 2003
Date of revision:
Hodrick Prescott Filter; Band-Pass Filter; Output Gap; Block Bootstrapping;
Other versions of this item:
- Francisco A. Gallego & Christian A. Johnson, 2003. "Building Confidence Intervals for the Band-Pass and Hodrick-Prescott Filters: An Application Using Bootstrapping," Working Papers Central Bank of Chile 202, Central Bank of Chile.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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- Siem Jan Koopman & Kai Ming Lee, 2005. "Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series," Tinbergen Institute Discussion Papers 05-081/4, Tinbergen Institute.
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