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Matlab code for one-sided HP-filters

Author

Listed:
  • Alexander Meyer-Gohde

    (Humboldt University Berlin)

Programming Language

Matlab

Abstract

This file contains two different Matlab implementations of one-sided HP-filters. The first is the Kalman implementation laid out by Stock, J.H. and M.W. Watson (1999, p. 301) ["Forecasting inflation," Journal of Monetary Economics, vol. 44(2), pages 293-335, October.] for the optimal one-sided analogue to the standard HP-filter. The second is a serial implementation explained, for example, by Mehra, Y.P. (2004, p. 7) ["The Output Gap, Expected Future Inflation and Inflation Dynamics: Another Look," The B.E. Journal of Macroeconomics, Berkeley Electronic Press.] that runs the standard HP-filter serially through time using only the data available at a particular point in time for calculating a trend value for that point in time. As a byproduct, a fast sparse-matrix implementation of the standard HP-Filter is included.

Suggested Citation

  • Alexander Meyer-Gohde, 2010. "Matlab code for one-sided HP-filters," QM&RBC Codes 181, Quantitative Macroeconomics & Real Business Cycles.
    • Handle: RePEc:dge:qmrbcd:181
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    Download full text from publisher

    File URL: https://dge.repec.org/codes/meyer-gohde/One_Sided_HP_Filters.zip
    File Function: program code
    Download Restriction: none
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    Citations

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    Cited by:

    1. Giri, Federico, 2018. "Does interbank market matter for business cycle fluctuation? An estimated DSGE model with financial frictions for the Euro area," Economic Modelling, Elsevier, vol. 75(C), pages 10-22.
    2. Valentin Jouvanceau, 2016. "The Portfolio Rebalancing Channel of Quantitative Easing," Working Papers halshs-01349870, HAL.
    3. Christopher E. Boehm, 2016. "Government Spending and Durable Goods," CESifo Working Paper Series 6244, CESifo.
    4. Bertrand Achou & Hippolyte d'Albis & Eleni Iliopulos, 2021. "Real Estate and Rental Markets during Covid Times," Documents de recherche 21-02, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    5. Go Kotera & Saisuke Sakai, 2017. "Complementarity between Merit Goods and Private Consumption: Evidence from estimated DSGE model for Japan," KIER Working Papers 978, Kyoto University, Institute of Economic Research.
    6. Helene Olsen & Harald Wieslander, 2020. "The Impact of Monetary Policy on Leading Variables for Financial Stability in Norway," Working Papers No 02/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    7. Rodríguez, Aldo, 2020. "Estimación Bayesiana de un Modelo de Economía Abierta con Sector Bancario," Dynare Working Papers 52, CEPREMAP.

    More about this item

    Keywords

    Matlab;

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