Munich Personal RePEc Archive

Managing the Uncertainty in the Hodrick Prescott Filter

Leon, Jorge (2012): Managing the Uncertainty in the Hodrick Prescott Filter.


Download (2MB) | Preview


This paper modifies the standard Hodrick Prescot Filter in order to reduce the problem of misleading predictive outcome when used with updated information. The modification allow for a more accurate estimation of output gap, as well as the introduction of confidence intervals that permit a better understanding of the uncertainty related to the estimation of the filter. Also improve the efficiency using a correction for autocorrelation in the errors of estimation.

MPRA is a RePEc service hosted by
the Munich University Library in Germany.