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

Francisco Gallego and Christian Johnson ()

Working Papers Central Bank of Chile from Central Bank of Chile

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. 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.

Date: 2003-02
New Economics Papers: this item is included in nep-cmp, nep-dge, nep-ecm and nep-ets
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https://www.bcentral.cl/documents/33528/133326/DTBC_202.pdf (application/pdf)

Related works:
Journal Article: Building confidence intervals for band-pass and Hodrick-Prescott filters: an application using bootstrapping (2005)
Working Paper: Building Confidence Intervals for the Band-Pas and Hodrick-Prescott Filters: An Application using Bootstrapping (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:202

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