[Gretl-users] Re: Hamilton trend-cycle decomposition

Hi all, yesterday, after having taught my students the HP decomposition, I wondered if I should also tell them that one of the greatest time-series econometricians on Earth recently wrote a rather scathing paper entitled "Why You Should Never Use the Hodrick-Prescott Filter", where he proposes a simple alternative. So this morning I rustled up a little script with Hamilton's filter. Here it is:

Should we turn this into a function package?