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Original Articles

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

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Pages 741-749 | Published online: 19 Aug 2006

References

References

  • Baxter M King J 1995 Measuring business cycles: approximate band-pass filters for economic time series National Bureau of Economic Research Working Paper, 5022, February
  • Baxter , M and King , J . 1999 . Measuring business cycles: approximate band-pass filters for economic time series . Review of Economics and Statistics , 81 ( 4 ) : 575 – 93 .
  • Burns A Mitchell W 1944 Measuring Business Cycles, National Bureau of Economic Research New York
  • Christiano L Fitzgerald T 1999 The band pass filter, National Bureau of Economic Research, Inc. NBER Working Papers, 7257
  • Hall , P , Horowitz , JL and Jing , BY . 1995 . On blocking rules for the bootstrap with dependent data . Biometrika , 82 : 561 – 74 .
  • Hamilton J 1994 Time Series Analysis, Princeton University Press Princeton NJ
  • Hodrick , RJ and Prescott , EC . 1997 . Postwar US business cycles: an empirical investigation . Journal of Money Credit and Banking , 29 ( 1 ) : 1 – 16 .
  • Lansing K 2000 Learning about a shift in trend output: implication for monetary policy and inflation Working Papers in Applied Economic Theory, 2000-16, Federal Reserve Bank of San Francisco, January
  • Ravn M Uhlig H 2001 On adjusting the HP-filter for the frequency of observations Centre for Economic Research Discussion Paper 2858, June

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