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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- 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.
- Polasek, Wolfgang, 2011. "The Hodrick-Prescott (HP) Filter as a Bayesian Regression Model," Economics Series 277, Institute for Advanced Studies.
- 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.
- 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).
- 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.
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