GAUSS code for the HP-filter reformulated as a constrained minimization problem

Albert Marcet and Morten Ravn

QM&RBC Codes from Quantitative Macroeconomics & Real Business Cycles

Abstract: This program computes the alternative version of the HP-filter proposed in 'The HP-filter in Cross-Country Comparisons'. The idea is to formulate the filter as a constrained minimization prblem and then impose the same constraint across countries. It could be used for the same purpose comparing different time periods as well. The Gauss programs should be relatively self-explanatory

Language: GAUSS
Date: 2001-09
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https://dge.repec.org/codes/ravn/hpammr.prg program code (application/x-gauss)
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Related works:
Working Paper: The HP-Filter in Cross-Country Comparisons (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:dge:qmrbcd:103

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