Constructing confidence bands for the Hodrick–Prescott filter
نویسندگان
چکیده
منابع مشابه
Constructing Confidence Bands for the Hodrick-Prescott Filter
Author Contact: David E. Giles, Dept. of Economics, University of Victoria, P.O. Box 1700, STN CSC, Victoria, B.C., Canada V8W 2Y2; e-mail: [email protected]; Phone: (250) 721-8540; FAX: (250) 721-6214 Abstract 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-s...
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ژورنال
عنوان ژورنال: Applied Economics Letters
سال: 2013
ISSN: 1350-4851,1466-4291
DOI: 10.1080/13504851.2012.714057