HPfilter1s

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trubador
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HPfilter1s

Postby trubador » Fri Jan 31, 2014 3:58 am

This thread is about hpfilter1s add-in.

The add-in computes the one-sided version of well known Hodrick Prescott filter. In estimating the trend component, regular HP filter uses the full sample, which leads to end-point sensitivity. One-sided HP filter, however, only uses data available at given point in time. You can also use the add-in for trend forecasting purposes (just extend your sample and make sure that your workfile range allows it).

Irina Mihai
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Re: HPfilter1s

Postby Irina Mihai » Tue May 12, 2015 6:27 am

What is the power parameter for ?

trubador
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Re: HPfilter1s

Postby trubador » Tue May 12, 2015 7:17 am

An adjustment suggested by Ravn and Uhlig (2002): http://faculty.georgetown.edu/mh5/class ... -Uhlig.pdf

tedward
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Re: HPfilter1s

Postby tedward » Thu Nov 05, 2015 5:42 am

Hi,

Can you please post a sample command/programming reference for a case where lambda is set to 400,000?

trubador
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Re: HPfilter1s

Postby trubador » Fri Nov 06, 2015 4:36 am

Have you seen the documentation that comes with add-in?
C:\Users\...\Documents\EViews Addins\hpfilter1s\hpfilter1s.pdf
or
Add-ins->Manage Add-ins->hfilter1s->Docs

tedward
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Re: HPfilter1s

Postby tedward » Fri Nov 06, 2015 5:08 am

Apologies, I hadn't seen the associated doc. It's really very helpful.

Thanks for the speedy reply.


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