Building Confidence Intervals for the Band-Pass and Hodrick-Prescott Filters: An Application Using Bootstrapping

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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Year of publication:	2003-02
Authors:	Gallego, Francisco A. ; Johnson, Christian A.
Institutions:	Banco Central de Chile

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Extent:	application/pdf
Series:	Working Papers Central Bank of Chile.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005738091