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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304, University of Munich, Department of Economics.
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- Wolfgang Polasek, 2011.
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Working Paper Series
46_11, The Rimini Centre for Economic Analysis, revised Jan 2012.
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