hpfilter-package: hpfilter: The One- And Two-Sided Hodrick-Prescott Filter
In hpfilter: The One- And Two-Sided Hodrick-Prescott Filter

hpfilter-package

R Documentation

hpfilter: The One- And Two-Sided Hodrick-Prescott Filter

Description

Provides two functions that implement the one-sided and two-sided versions of the Hodrick-Prescott filter. The one-sided version is a Kalman filter-based implementation, whereas the two- sided version uses sparse matrices for improved efficiency. References: Hodrick, R. J., and Prescott, E. C. (1997) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.2307/2953682")} Mcelroy, T. (2008) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1111/j.1368-423X.2008.00230.x")} Meyer-Gohde, A. (2010) https://ideas.repec.org/c/dge/qmrbcd/181.html For more references, see the vignette.

Details

hp1 - runs the one-sided HP filter

hp2 - runs the two-sided HP filter

GDPEU - contains a sample GDP dataset

This package implements in R a version of the HP filter very close to that specified by Meyer-Gohde, A. (2010). Please see the "References" section for more details.

Author(s)

Alexandru Monahov

Source

Copyright Alexandru Monahov, 2023. You may use, modify and redistribute this code, provided that you give credit to the author and make any derivative work available to the public for free.

References

Balcilar, M. (2019). Miscellaneous Time Series Filters ‘mFilter’. CRAN R Package Library.

Drehmann, M., and Yetman, J. (2018). Why You Should Use the Hodrick-Prescott Filter – at Least to Generate Credit Gaps. BIS Working Paper No. 744.

Eurostat (2023), Real Gross Domestic Product for European Union (28 countries) [CLVMNACSCAB1GQEU28], National Accounts - GDP.

Hamilton, J. D. (2017). ‘Why You Should Never Use the Hodrick-Prescott Filter’. Working Paper Series. National Bureau of Economic Research, May 2017.

Hodrick, R. J., and Prescott, E. C. (1997). Postwar U.S. Business Cycles: An Empirical Investigation. Journal of Money, Credit, and Banking 29: 1-16.

Hyeongwoo, K. (2004). "Hodrick–Prescott Filter". Notes, Auburn University.

Mcelroy, T. (2008). Exact formulas for the Hodrick-Prescott Filter. Econometrics Journal. 11. 209-217.

Meyer-Gohde, A. (2010). Matlab code for one-sided HP-filters. QM&RBC Codes 181, Quantitative Macroeconomics & Real Business Cycles.

Ravn, M., and Uhlig, H. (2002). On adjusting the Hodrick-Prescott filter for the frequency of observations, The Review of Economics and Statistics 2002; 84 (2): 371–376.

Shea, J. (2021). neverhpfilter: An Alternative to the Hodrick-Prescott Filter. CRAN R Package Library.

Examples

# Generate sample data
set.seed(10)
y <- as.data.frame(rev(diffinv(rnorm(100)))[1:100])+30

# Run hpfilter functions
hp1(y, lambda = 400000) # Calculate the one-sided HP filter using a
                        # smoothing parameter of 400000

hp2(y, lambda = 1600)   # Calculate the two-sided HP filter using a
                        # smoothing parameter of 1600

hpfilter documentation built on May 31, 2023, 6:43 p.m.