Am 22.02.2020 um 10:42 schrieb Riccardo (Jack) Lucchetti:
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?
Reviving this after almost one year: I don't think anything has happened
on that front, but today I thought this would be very useful to have.
I can collaborate on this if you want.