GAUSS code for the HP-filter reformulated as a constrained minimization problem
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
|Date of creation:||Sep 2001|
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