Package: mhpfilter 1.0.0

mhpfilter: Modified and Fully Modified Hodrick-Prescott Filters

Decomposes macroeconomic time series into trend and cycle with the Hodrick-Prescott (HP) filter and two data-driven versions of it. The modified HP filter of McDermott (1997), assessed by Choudhary, Hanif and Iqbal (2014) <doi:10.1080/00036846.2014.894631>, chooses the smoothing parameter of every series by generalised cross-validation (as described in Coe and McDermott (1997) <doi:10.2307/3867497>). The fully modified HP filter of Hanif, Iqbal and Choudhary (2017, State Bank of Pakistan Working Paper 88) also reduces the end-point bias of the HP filter: it raises the smoothing parameter at the first and last observations, with linear or quadratic weights chosen to minimise the loss of Bloechl (2014, University of Munich Discussion Paper 2014-1). Every filter is a banded linear solve, so the searches are fast; batch processing of many series, comparisons of the filters, the filter weights, gain functions and end-point loss, simulation of trend-plus-cycle series and the power comparison of the paper, 'ggplot2' graphics, a plain-language interpretation of every result and a built-in 'shiny' application.

Authors:Muhammad Yaseen [aut, cre, cph], Javed Iqbal [ctb], M. Nadim Hanif [ctb, cph], M. Ali Choudhary [ctb]