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Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"

Home Page: https://zhentaoshi.github.io/Boosted_HP_filter/

License: MIT License

R 8.54% MATLAB 0.57% Julia 0.53% Python 0.59% HTML 89.11% Stata 0.66% TeX 0.01%
econometrics time-series machine-learning

boosted_hp_filter's Introduction

Introduction

This is the repository for

Peter Phillips and Zhentao Shi, "Boosting: Why You Can Use the HP Filter," International Economic Review, 62(2), 521-570

It offers

  • the function BoostedHP in R, STATA, MATLAB, Python and Julia.
  • Replication code for simulations and empirical applications in the paper.

To R users: a dedicated R package BoostedHP is developed with vignette.

Contributors

Zhentao Shi, Yang Chen, Ziwei Mei and Shu Shen

Updates

  • 11/5/2022: Stata code added by Shu Shen.
  • 6/5/2022: Replication2.
  • 11/18/2020: Replication files are added into the folder replications.
  • 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.
  • 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.
  • 8/18/2020: The R code is superseded by a new R package BoostedHP. See the vignette for its usage.

boosted_hp_filter's People

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boosted_hp_filter's Issues

Difference between k-th order filter and boosted hp filter

Hi there,

We usually name 1st order filter as l1 trend filter and 2nd order filter as hp filter. Actually Tibshirani had extended the filter to k-th order in Adaptive piecewise polynomial estimationvia trend filtering. I didn't do any mathematic proof, but the boosted hp filter curve looks pretty close to the k-th order one. Just wondering if there is any potential relationship between them. Thanks very much!

Best,

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