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Managing the Uncertainty in the Hodrick Prescott Filter

Jorge Leon

MPRA Paper from University Library of Munich, Germany

Abstract: 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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