EViews.com

I found a helpful Excel add-in for the Hodrick-Prescott (HP) filter here: http://www.web-reg.de/hp_addin.html I'm not comfortable with coding in EViews, so that was a better fit for my needs and I thought others might similarly benefit. As far as I can tell, the FD filter is only available as an Exc...

That was my instinct as well. Thank you, trubador! A brief update for fellow users interested in the HP filter: I'm still investigating the proper procedures for detrending using either the HP or Corbae-Ouliaris FD filter with the ultimate goal of a side-by-side comparison of their empirical accurac...

I was unaware of this documentation. Thank you, Gareth. While that answers my first and second questions, it is still unclear if the series must be seasonally adjusted before applying the Corbae-Ouliaris FD filter.

Thanks for the excellent suggestion, Trubador! The Frequency-Domain (FD) filter by Corbae and Ouliaris seems to perform much better than an HP/BK/CF filter, all of which suffer from end-point problems. However, I'm still having some issues using the FD filter. Is there a good users’ guide I am someh...

The original text (except for two pages) is available from Google: http://books.google.com/books?hl=en&lr=&id=mXitlEaAy8AC&oi=fnd&pg=PA167&dq=corbae+ouliaris&ots=dBPqcKeUeA&sig=K0tPj-m3pxIKhJ6gXAgb5bL1eqA#v=onepage&q&f=false At least part of the missing informatio...

Rule of thumb is: Lambda = 100*(number of periods in a year)^2 There is additional research that suggests using a power of 4 instead of 2. See Ravn and Uhlig (2002). http://ideas.repec.org/a/tpr/restat/v84y2002i2p371-375.html Harvey and Trimbur (2008) explain the risk in using a too-small smoothing...