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GAUSS code for the HP-filter reformulated as a constrained minimization problem

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Author Info
Albert Marcet (Universitat Pompeu Fabra)
Morten Ravn (European University Institute)

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Abstract

This program computes the alternative version of the HP-filter proposed in 'The HP-filter in Cross-Country Comparisons'. The idea is to formulate the filter as a constrained minimization prblem and then impose the same constraint across countries. It could be used for the same purpose comparing different time periods as well. The Gauss programs should be relatively self-explanatory

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File URL: http://dge.repec.org/codes/ravn/hpammr.prg
File Format: application/x-gauss
File Function: program code
Download Restriction: none

Publisher Info
Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 103.

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Programming language: GAUSS
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Date of creation: Sep 2001
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Handle: RePEc:dge:qmrbcd:103

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. David K. Backus & Patrick J. Kehoe, 1992. "International Evidence on the Historical Properties of Business Cycles," Working Papers 92-5, New York University, Leonard N. Stern School of Business, Department of Economics.
    Other versions:
  2. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November. [Downloadable!] (restricted)
    Other versions:
  3. Steve Ambler & Emanuela Cardia & Christian Zimmermann, 1999. "International Business Cycles: What are the Facts?," Cahiers de recherche CREFE / CREFE Working Papers 90, CREFE, Université du Québec à Montréal. [Downloadable!]
    Other versions:
  4. Backus, David K & Kehoe, Patrick J & Kydland, Finn E, 1992. "International Real Business Cycles," Journal of Political Economy, University of Chicago Press, vol. 100(4), pages 745-75, August. [Downloadable!] (restricted)
    Other versions:
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Kevin Ross & Angel J. Ubide, 2001. "Mind the Gap: What is the Best Measure of Slack in the Euro Area?," IMF Working Papers 01/203, International Monetary Fund.
  2. Roberta Zizza, 2006. "A measure of output gap for Italy through structural time series models," Journal of Applied Statistics, Taylor and Francis Journals, vol. 33(5), pages 481-496, June. [Downloadable!] (restricted)
  3. Paul Cashin, 2004. "Caribbean Business Cycles," IMF Working Papers 04/136, International Monetary Fund. [Downloadable!]
  4. Rafael Doménech & Víctor Gómez, 2005. "Ciclo económico y desempleo estructural en la economía española," Investigaciones Economicas, Fundación SEPI, vol. 29(2), pages 259-288, May. [Downloadable!]
  5. Pablo García S. & Rodrigo Valdés P, 2003. "Dinero e Inflación en el Marco de Metas de Inflación," Working Papers Central Bank of Chile 198, Central Bank of Chile. [Downloadable!]
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