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.
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
Not sure if you saw this:
ReplyDeletehttp://www.bruegel.org/nc/blog/detail/article/849-blogs-review-hp-filters-and-business-cycles/
Thanks! Hadn't seen that.
Deletedear sir please share us how to run H-P filtering method by eview. just steeps to follow. fbernabas@gmail.com
ReplyDeleteIt's a standard command in EViews - just check the manual(help file).
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