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

C-Tier

Journal: Applied Economics

Year: 2005

Volume: 37

Issue: 7

Pages: 741-749

Authors (2)

Francisco Gallego (Pontificia Universidad Católic...) Christian Johnson (Universidad Adolfo Ibáñez)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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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.

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

Authors (2)

Abstract

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