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Constructing Confidence Bands for the Hodrick-Prescott Filter

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Abstract

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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Bibliographic Info

Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 1202.

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Length: 9 pages
Date of creation: 19 Apr 2012
Date of revision:
Handle: RePEc:vic:vicewp:1202

Note: ISSN 1485-6441
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Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
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Web page: http://web.uvic.ca/econ
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Keywords: Hodrick-Prescott filter; time-series decomposition; confidence bands;

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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.
  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," IZA Discussion Papers 1054, Institute for the Study of Labor (IZA).
  4. 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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