The package augments Mehmet Balcilar’s
mFilter package by
providing a function for the calculation of confidence bands for the
trend component of the two-sided Hodrick-Prescott (HP) filter as
proposed by Giles
Note that the construction of such confidence bands is recommended only for stationary times series.
# install.packages("devtools") devtools::install_github("franzmohr/hpconf")
The following code reproduces figures 3 and 4 in Giles (2013) in one graph.
# Load packages library(alfred) library(mFilter) library(hpconf) # Download data unemp <- get_fred_series(series_id = "LNS14100000", series_name = "value", observation_start = "1968-01-01", observation_end = "2012-03-01") # Transform data into time-series object unemp <- ts(unemp$value, start = 1968, frequency = 12) # HP-filter hp_unemp <- hpfilter(unemp, freq = 14400) # Obtain confidence bands hp_unemp_conf <- hpconf(hp_unemp) # Plot plot(hp_unemp_conf, main = "US unemployment rate", ylab = "", xlab = "", ylim = c(0, 12))
Balcilar, M. (2018). mFilter: Miscellaneous Time Series Filters. R package version 0.1-4. https://CRAN.R-project.org/package=mFilter
Giles, D. E. (2013). Constructing confidence bands for the Hodrick-Prescott filter. Applied Economics Letters (20)5, 480-484. https://doi.org/10.1080/13504851.2012.714057
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