HPfilter1s
Posted: 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).
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).