Constructing confidence bands for the Hodrick--Prescott filter
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- David E. Giles, 2012. "Constructing Confidence Bands for the Hodrick-Prescott Filter," Econometrics Working Papers 1202, Department of Economics, University of Victoria.
References listed on IDEAS
- Polasek, Wolfgang, 2011.
"The Hodrick-Prescott (HP) Filter as a Bayesian Regression Model,"
277, Institute for Advanced Studies.
- Wolfgang Polasek, 2011. "The Hodrick-Prescott (HP) Filter as a Bayesian Regression Model," Working Paper series 46_11, Rimini Centre for Economic Analysis, revised Jan 2012.
- Danthine, Jean-Pierre & Girardin, Michel, 1989. "Business cycles in Switzerland : A comparative study," European Economic Review, Elsevier, vol. 33(1), pages 31-50, January.
- 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).
- 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.
More about this item
- 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
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