Constructing confidence bands for the Hodrick--Prescott filter

By noting that the Hodrick--Prescott (H--P) filter can be used 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 US data for real value-added output and monthly US data for the unemployment rate.

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Year of publication:	2013
Authors:	Giles, David E.
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 20.2013, 5, p. 480-484
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010624337