This is an accompanying repository for the paper:
Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter" (to provide the arxiv link)
We offer two R script files.
BoostedHP.Rcontains the R function to implement the automated boosted HP filter. The inputs and outputs are detailed in the beginning of the function.
testing_example.Ris a script to demonstrate the usage of the filtering procedure.
We welcome comments about the paper and the code.
Yang Chen is developing the code here into an R package BoostedHP. Though it is at a very preliminary stage, it can be installed and implemented in R.