Constructing confidence bands for the Hodrick--Prescott filter
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.
Volume (Year): 20 (2013)
Issue (Month): 5 (March)
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- Schlicht, Ekkehart, 2004.
"Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter,"
IZA Discussion Papers
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277, Institute for Advanced Studies.
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- 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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