Constructing confidence bands for the Hodrick–Prescott filter

David E. Giles
2013 Applied Economics Letters  
By noting that the Hodrick-Prescott filter can be expressed as the solution to a particular regression problem, we are able to show how to construct confidence bands for the filtered time-series. This procedure requires that the data are stationary. The construction of such confidence bands is illustrated using annual U.S. data for real value-added output; and monthly U.S. data for the unemployment rate.
doi:10.1080/13504851.2012.714057 fatcat:m2xnj6kpozaf3h5sywtos7hygi