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Constructing confidence bands for the Hodrick--Prescott filter

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  • David E. Giles

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.

Suggested Citation

  • David E. Giles, 2013. "Constructing confidence bands for the Hodrick--Prescott filter," Applied Economics Letters, Taylor & Francis Journals, vol. 20(5), pages 480-484, March.
    • Handle: RePEc:taf:apeclt:v:20:y:2013:i:5:p:480-484
    DOI: 10.1080/13504851.2012.714057
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    References listed on IDEAS

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    1. Polasek, Wolfgang, 2011. "The Hodrick-Prescott (HP) Filter as a Bayesian Regression Model," Economics Series 277, Institute for Advanced Studies.
    2. Schlicht, Ekkehart, 2004. "Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter," Discussion Papers in Economics 304, University of Munich, Department of Economics.
    3. Morten O. Ravn & Harald Uhlig, 2002. "On adjusting the Hodrick-Prescott filter for the frequency of observations," The Review of Economics and Statistics, MIT Press, vol. 84(2), pages 371-375.
    4. Danthine, Jean-Pierre & Girardin, Michel, 1989. "Business cycles in Switzerland : A comparative study," European Economic Review, Elsevier, vol. 33(1), pages 31-50, January.
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    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Hodrick-Prescott Filter Paper
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-07-16 23:32:00
    2. More on Confidence Bands for the HP Filter
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-04-20 20:25:00
    3. More on Confidence Bands for the HP Filter
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-04-20 20:25:00

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    Cited by:

    1. Thomas Lustenberger, 2018. "Has the American Output Growth Path Experienced a Permanent Change?," Working Papers 2018-14, Swiss National Bank.

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    More about this item

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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