Monday, July 16, 2012

Hodrick-Prescott Filter Paper

A while back I posted (here, here, and here) about constructing confidence bands to go with the Hodrick-Prescott filter. Subsequently, I wrote up the material more formally, and that paper is to appear in Applied Economics Letters.

You can find the final version of the paper here.

Hat-tip to my colleague, Graham Voss, for encouraging me to write up the material properly.

Reference

Giles, D. E., 2012. Constructing confidence bands for the Hodrick-Prescott filter. Forthcoming in Applied Economics Letters.


© 2012, David E. Giles

3 comments:

  1. Not sure if you saw this:

    http://www.bruegel.org/nc/blog/detail/article/849-blogs-review-hp-filters-and-business-cycles/

    ReplyDelete
  2. thanks for sharing.

    ReplyDelete