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Building Confidence Intervals for the Band-Pas and Hodrick-Prescott Filters: An Application using Bootstrapping

  • Christian A. Johnson
  • Francisco A. Gallego

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. 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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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2003 with number 15.

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Date of creation: 01 Aug 2003
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Handle: RePEc:sce:scecf3:15
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  1. Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  2. Ravn, Morten O & Uhlig, Harald, 2001. "On Adjusting the HP-Filter for the Frequency of Observations," CEPR Discussion Papers 2858, C.E.P.R. Discussion Papers.
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