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

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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.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036840500048985

Affiliations: 1: Department of Economics, Massachusetts Institute of Technology, Cambridge, MA, USA 2: Business School, Universidad Adolfo Ibáñez, Santiago, Chile

Publication date: April 20, 2005

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