Re: [Gretl-users] hp confidence interval building

On Mon, 15 Mar 2010, [ISO-8859-1] Patricio Cuarón wrote: > Hello. I'm trying to implement the Gallego-Johnson method for building > confidence intervals for the HP filter. The methodology is explained in http://www.bcentral.cl/estudios/documentos-trabajo/pdf/dtbc202.pdf It appears they're plotting the 0.25 and 0.75 quantiles (they don't state anywhere what confidence level they're using). <script> open fedstl.bin # US real GDP data gdpc96 smpl 1957:1 2001:04 scalar block = $nobs^{1/3} series y = 100*log(gdpc96) genr gap = hpfilt(y) genr trend = y - gap matrix A = {} scalar n = 999 loop i=1..n --quiet # create series as trend + resampled cycle/gap boot_y = trend + resample(gap, block) # apply filter to get bootstrap gap boot_gap = hpfilt(boot_y) A ~= {boot_gap} endloop A = A' series gap_hi = quantile(A, 0.75)' series gap_lo = quantile(A, 0.25)' gnuplot gap_lo gap gap_hi --single-yaxis --with-lines \ --time --output=display </script> Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users