HPFILTER: Stata module to compute one-sided Hodrick-Prescott filter

Narek Ohanyan

Statistical Software Components from Boston College Department of Economics

Abstract: This package provides extended functionalities for extracting the trend and cyclical components from time series using the Hodrick-Prescott filter. It implements the popular two-sided version as well as the one-sided version of the HP filter described in Stock and Watson (1999). The package is also able to find the optimal smoothing parameter for each series as the ratio of the variance of innovations to the series and the variance of innovations to the trend, as originally proposed by Hodrick and Prescott (1997).

Language: Stata
Requires: Stata version 12
Keywords: HP filter; Hodrick; Prescott; time series; filtering (search for similar items in EconPapers)
Date: 2019-09-29, Revised 2019-10-02
Note: This module should be installed from within Stata by typing "ssc install hpfilter". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/h/hpfilter.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hpfilter.sthlp help file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458691

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