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Applied Economics Letters Volume 20, 2013 - Issue 5
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Original Articles

Constructing confidence bands for the Hodrick–Prescott filter

David E. Giles Department of Economics, University of Victoria, Victoria, BC, V8W 2Y2, CanadaCorrespondence[email protected]
Pages 480-484 | Published online: 20 Aug 2012

References

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  • Polasek , W. 2011 . The Hodrick–Prescott (HP) filter as a Bayesian regression model, Working Paper No. WP 11–46 , Rimini , , Italy : The Rimini Centre for Economic Analysis .
  • Ravn , M. O. and Uhlig , H. 2002 . On adjusting the Hodrick–Prescott filter for the frequency of observations . Review of Economics and Statistics , 84 : 371 – 6 .
  • Schlicht , E. 2005 . Estimating the smoothing parameter in the so-called Hodrick–Prescott filter . Journal of the Japan Statistical Society , 35 : 99 – 119 .
  • Whittaker , E. T. 1922 . On a new method of graduation . Proceedings of the Edinburgh Mathematical Society , 41 : 63 – 75 .

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