[Gretl-users] One-sided HP filter

Folks, I just implemented the one-sided HP filter as per Stock & Watson (1999), "Forecasting Inflation", JME. It was quite easy, in fact. The Hansl code is below. However, I'd like to ask the community a question: how should we use this: I have three possibilities: * Put the code below in the Kalman filter chapter of the User's Guide, as an example of how you do simple things of some practival value; * implement this as a function package (but then, we already have the Christiano-Fitzgerald filter, and it may make sense to coalesce the two filters into one package) * implement this as a variant of our native hpfilt() function, with an extra boolean flag for one-sidedness. Opinions? <hansl> function series oshpfilt(series y, scalar lambda[0]) if lambda == 0 lambda = 100 * $pd^2 endif # State transition matrix matrix F = {2,-1;1,0} # Observation matrix matrix H = {1;0} # Covariance matrix in the state equation matrix Q = diagcat(1/lambda, 0) ssm = ksetup(y, H, F, Q) ssm.obsvar = 1 ssm.inistate = {2*y[1]-y[2] ; 3*y[1]-2*y[2]} err = kfilter(&ssm) series ret = err ? NA : y - ssm.state[,2] return ret end function # --- example ---------------------------------------------- clear open fedstl.bin data houst series y = log(houst) series hp1 = oshpfilt(y) # one-sided series hp2 = hpfilt(y) # two-sided (traditional) series t1 = y - hp1 series t2 = y - hp2 </hansl> ------------------------------------------------------- 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 -------------------------------------------------------