Matlab code for one-sided HP-filters
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.
|Date of creation:||2010|
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