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

Author

Listed:
  • Albert Marcet

    (Universitat Pompeu Fabra)

  • Morten Ravn

    (European University Institute)

Programming Language

GAUSS

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

Suggested Citation

  • Albert Marcet & Morten Ravn, 2001. "GAUSS code for the HP-filter reformulated as a constrained minimization problem," QM&RBC Codes 103, Quantitative Macroeconomics & Real Business Cycles.
    • Handle: RePEc:dge:qmrbcd:103
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    File URL: https://dge.repec.org/codes/ravn/hpammr.prg
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    Keywords

    GAUSS;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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