Constructing confidence bands for the Hodrick--Prescott filter

David Giles

Applied Economics Letters, 2013, vol. 20, issue 5, 480-484

Abstract: 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.

Date: 2013
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DOI: 10.1080/13504851.2012.714057

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