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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.

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File URL: http://www.uvic.ca/socialsciences/economics/assets/docs/econometrics/ewp1202.pdf
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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
Contact details of provider: Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
Phone: (250)721-6197
Fax: (250)721-6214
Web page: http://web.uvic.ca/econ

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  1. 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.
  2. Polasek, Wolfgang, 2011. "The Hodrick-Prescott (HP) Filter as a Bayesian Regression Model," Economics Series 277, Institute for Advanced Studies.
  3. Danthine, Jean-Pierre & Girardin, Michel, 1989. "Business cycles in Switzerland : A comparative study," European Economic Review, Elsevier, vol. 33(1), pages 31-50, January.
  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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