Managing the Uncertainty in the Hodrick Prescott Filter
MPRA Paper from University Library of Munich, Germany
This paper modifies the standard Hodrick Prescot Filter in order to reduce the problem of misleading predictive outcome when used with updated information. The modification allow for a more accurate estimation of output gap, as well as the introduction of confidence intervals that permit a better understanding of the uncertainty related to the estimation of the filter. Also improve the efficiency using a correction for autocorrelation in the errors of estimation.
Keywords: Filter; Hodrick Prescott; Uncertainty (search for similar items in EconPapers)
JEL-codes: C22 C52 E32 (search for similar items in EconPapers)
Date: 2012, Revised 2012
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:44531
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