hpfilter-package: 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) tools:::Rd_expr_doi("10.2307/2953682") Mcelroy, T. (2008) 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.

Arguments

Author

Alexandru Monahov

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.

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

Run this code

# 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