However, I'd like to ask the community a question: how should we use this: I have three possibilities:

* implement this as a variant of our native hpfilt() function, with an extra boolean flag for one-sidedness.

* implement this as a variant of our native hpfilt() function,

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@univpm.ithttp://www2.econ.univpm.it/servizi/hpp/lucchetti ------------------------------------------------------- _______________________________________________ Gretl-users mailing list Gretl-users@lists.wfu.eduhttp://lists.wfu.edu/mailman/listinfo/gretl-users

Em 3 de março de 2018, Oleh escreveu: > Personally, I'd liked >> * implement this as a variant of our native hpfilt() function, > because it will work very quickly > > But > * Put the code below in the Kalman filter chapter > will be good as a example > Kalman filter is very valuable and powerful thing > But as for me the docs are somewhat difficult: > Every additional example will be helpful I agree with you. This is what I'm saying on that thread: http://lists.wfu.edu/pipermail/gretl-devel/2018-March/008604.html

On Thu, 8 Mar 2018, Allin Cottrell wrote: > On Thu, 8 Mar 2018, Henrique Andrade wrote: > >> Em 3 de março de 2018, Oleh escreveu: >> >>> Personally, I'd liked >>>> * implement this as a variant of our native hpfilt() function, >>> because it will work very quickly >>> >>> But > * Put the code below in the Kalman filter chapter >>> will be good as a example >>> Kalman filter is very valuable and powerful thing >>> But as for me the docs are somewhat difficult: >>> Every additional example will be helpful >> >> I agree with you. This is what I'm saying on that thread: >> >> http://lists.wfu.edu/pipermail/gretl-devel/2018-March/008604.html > > I applaud your idea in that thread! It would be nice if more notice were > taken of our Kalman filter implementation. But it's kind of on the edge of > the degree of programming expertise that we can expect of most hansl users, > so the more good examples we have on show, the better. 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?