GAUSS code for the HP-filter reformulated as a constrained minimization problem
AbstractThis 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
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoSoftware component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 103.
Programming language: GAUSS
Date of creation: Sep 2001
Date of revision:
Other versions of this item:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann).
If references are entirely missing, you can add them using this form.