Building confidence intervals for band-pass and Hodrick-Prescott filters: an application using bootstrapping

Francisco Gallego and Christian Johnson ()

Applied Economics, 2005, vol. 37, issue 7, 741-749

Abstract: 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. GDP trend growth and output gap intervals for the G7 economies are used as examples. This new methodology increases the usefulness of these filters by overcoming the absence of confidence intervals.

Date: 2005
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Related works:
Working Paper: Building Confidence Intervals for the Band-Pass and Hodrick-Prescott Filters: An Application Using Bootstrapping (2003)
Working Paper: Building Confidence Intervals for the Band-Pas and Hodrick-Prescott Filters: An Application using Bootstrapping (2003)
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DOI: 10.1080/00036840500048985

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