Re: [Gretl-users] One-sided HP filter
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On Thu, 8 Mar 2018, Allin Cottrell wrote:
> Ok, so the consensus seems to be including my script in the
relevant
> chapter of the User's Guide, with adequate accompanying text, and
> extending the existing hpfilt() function with a third optional argument
> (I'm not a great fan of a string argument; I'd rather have a boolean flag
> --- better for scripting).
>
> I can take care of the former over the weekend and of the latter later on.
> But I suppose we don't want to wait for these for release, do we?
Not necessarily, but I have a little unfinished business with svm() that
I'd like to get into the release if possible, so if you're quick enough...
;-)
First installment is done: I've just committed to SourceForge a revised
version of the Kalman chapter in the User's Guide. Please note that the
script is a slightly revised version of the one I posted yesterday.
Comments welcome.
-------------------------------------------------------
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
-------------------------------------------------------
On Fri, 9 Mar 2018, Riccardo (Jack) Lucchetti wrote:
On Thu, 8 Mar 2018, Allin Cottrell wrote:
>> Ok, so the consensus seems to be including my script in the relevant
>> chapter of the User's Guide, with adequate accompanying text, and
>> extending the existing hpfilt() function with a third optional argument
>> (I'm not a great fan of a string argument; I'd rather have a boolean flag
>> --- better for scripting).
>>
>> I can take care of the former over the weekend and of the latter later on.
>> But I suppose we don't want to wait for these for release, do we?
>
> Not necessarily, but I have a little unfinished business with svm() that
> I'd like to get into the release if possible, so if you're quick enough...
> ;-)
First installment is done: I've just committed to SourceForge a revised
version of the Kalman chapter in the User's Guide. Please note that the
script is a slightly revised version of the one I posted yesterday.
Comments welcome.
Looks very good to me! Thanks.
Allin
On Fri, 9 Mar 2018, Allin Cottrell wrote:
> First installment is done: I've just committed to SourceForge
a revised
> version of the Kalman chapter in the User's Guide. Please note that the
> script is a slightly revised version of the one I posted yesterday.
>
> Comments welcome.
Looks very good to me! Thanks.
Attention please: I realised that the version I posted the other day
contained a mistake. Fortunately, Allin stepped in, so in current git you
have a correct native implementation via the hpfilt() function; plus, the
didactic example in the Kalman chapter, which contained the same mistake,
has been reworked and is now, hopefully, clearer and more general.
The important message to the community is: DON'T USE THE FUNCTION I SENT
LAST THURSDAY. It's wrong. The correct implementation will be in the
upcoming 2018a release; the User's Guide will also contain a hansl
function implementing the same algorithm (well, it's in the git repo
already if you want to take a look).
-------------------------------------------------------
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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Allin Cottrell -
Riccardo (Jack) Lucchetti