Constructing Confidence Bands for the Hodrick-Prescott Filter

David Giles

No 1202, Econometrics Working Papers from Department of Economics, University of Victoria

Abstract: 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.

Keywords: Hodrick-Prescott filter; time-series decomposition; confidence bands (search for similar items in EconPapers)
JEL-codes: C13 C20 E3 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2012-04-19
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: ISSN 1485-6441
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Constructing confidence bands for the Hodrick--Prescott filter (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:vic:vicewp:1202

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