Accompanying functions for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"
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BoostedHP
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BoostedHP.R
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README.md
testing_example.R

README.md

Introduction

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.R contains the R function to implement the automated boosted HP filter. The inputs and outputs are detailed in the beginning of the function.
  • testing_example.R is 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.