Re: [Gretl-devel] Hodrick-Prescott parameter
On Fri, 14 Oct 2016, Logan Kelly wrote:
Regarding my previous reply. The moment I sent it I realized my
wording
was rather rude. My apologies. What I meant to say was that I appreciate
Ignacio bringing those papers to my attention and that I support a brief
discussion be included in docs. I did not mean to imply that it was my
decision in any way. I am very happy to leave leading in the very
capable hands of people like Allin and Jack. I hope I didn't offend
anyone.
Certainly not me.
Actually, we do have a discussion on several time-series filter in the
User's Guide (chap. 24); I'll try to update the references as soon as I
have some time.
That said, I think Ignacio's suggestion is excellent and that we should
change the default values as per his suggestion, but of course I'd rather
wait for the opinion of the High Guardian of Backward Compatibility (aka
Sven).
Speaking of filters: I wrote some time ago an implementation of the
Christiano-Fitzgerald as a function package. Has anybody tried it for
serious work?
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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