Constructing Confidence Bands for the Hodrick-Prescott Filter
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.
|Date of creation:||19 Apr 2012|
|Contact details of provider:|| Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2|
Web page: http://web.uvic.ca/econ
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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, The 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. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:vic:vicewp:1202. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Graham Voss)
If references are entirely missing, you can add them using this form.