This is the repository for
Peter Phillips and Zhentao Shi (2019): "Boosting: Why You Can Use the HP Filter "
in R
, MATLAB
, Python
and Julia
.
Contributors: Zhentao Shi, Yang Chen and Ziwei Mei
- Update on 8/27/2020: python code and julia code are added by Ziwei Mei. The bHP-ADF result are slightly different from that of the R code because the ADF tests cited in these languages. In the scripts, the testing examples immediately follow the main function.
- Update on 8/21/2020: Matlab code is added into the MATLAB folder. It produces exactly the same results as the R code. We offer two scripts under these folders:
BoostedHP
contains the function to implement the automated boosted HP filter. The inputs and outputs are detailed in the beginning of the function.testing_example
is a script to demonstrate the usage of the filtering procedure.
- Update on 8/18/2020: The R code is superseded by a new R package BoostedHP. See the vignette for its usage.