Building Confidence Intervals for the Band-Pass and Hodrick-Prescott Filters: An Application Using Bootstrapping

Posted: 2 Dec 2010

See all articles by Francisco A. Gallego

Francisco A. Gallego

Pontificia Universidad Catolica de Chile

Christian A Johnson

affiliation not provided to SSRN

Date Written: april 1, 2005

Abstract

This article generates innovative confidence intervals for two of the most popular de-trending methods: Hodrick-Prescott and band-pass filters. The confidence intervals are obtained using block-bootstrapping techniques for dependent data. GDP trend growth and output gap intervals for the G7 economies are used as examples. This new methodology increases the usefulness of these filters by overcoming the absence of confidence intervals.

Suggested Citation

Gallego, Francisco A. and Johnson, Christian A, Building Confidence Intervals for the Band-Pass and Hodrick-Prescott Filters: An Application Using Bootstrapping (april 1, 2005). Applied Economics, Vol. 37, No. 7, 2005. Available at SSRN: https://ssrn.com/abstract=1718359

Francisco A. Gallego (Contact Author)

Pontificia Universidad Catolica de Chile ( email )

Casilla 76
Correo 17
Santiago
Chile

HOME PAGE: http://www.economia.puc.cl/fgallego

Christian A Johnson

affiliation not provided to SSRN ( email )

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