Hello. I'm trying to implement the Gallego-Johnson method for building confidence intervals for the HP filter. The methodology is explained in this diagram:

I wrote the following code:

smpl full

genr gdp_d11 = pbip_d11

genr cycle = hpfilt(gdp_d11)

genr trend = gdp_d11-cycle

matrix A = {}

matrix A = A ~ {cycle}

scalar n = 1000

loop for counter=1..n --quiet

genr auxvar1=trend+resample(cycle,22)

genr auxvar2=auxvar1-hpfilt(auxvar1)

genr auxvar3 = hpfilt(auxvar1)

matrix A = A ~ {auxvar3}

endloop

mubgap=quantile(transp(A),0.95)

mlbgap=quantile(transp(A),0.05)

series ubgap=mubgap

series lbgap=mlbgap

genr ubgap=ubgap+cycle

genr lbgap=cycle-lbgap

But the outputs are wrong. I don't get what I'm doing wrong. I'd be grateful for some help.

Thanks!