Hi everyone,
I am using R to estimate a time series model. I wanna to see how Hodrick-Prescott (HP) filter affects the results. I cannot any tutorial on how to apply it in R. If someone can share their code or an example, it will help me a lot. Thanks in advance!
Best regards,
Here you can find what you are looking for with example.
www.rdocumentation.org/packages/mFilter/versions/0.1-5/topics/hpfilter
Hi Ayesha Khan
In addition to the suggestion from Wasim A. Ali, I recommend the following tutorial for a better understanding.
https://kevinkotze.github.io/ts-5-tut/
Thank you Wasim A. Ali and Jagajjit Sahu for your valuable feedback. One more thing, what is the recommended value of Lambda for an annual time series?
Thank you!
Dear Ayesha Khan
I am not entirely sure about the answer, however, the following link talks about time series analysis very nicely. The Lambda value has been recommended as 6.25, 1600, and 129600 for annual, monthly, and quarterly data, respectively. Take a look at it to see if you can determine the way forward. Thanks
https://medium.com/@parkashsharma/time-series-analysis-in-python-4f2e7a453ded
I suppose that you are aware of Hamilton's paper on the subject: https://direct.mit.edu/rest/article/100/5/831/58479/Why-You-Should-Never-Use-the-Hodrick-Prescott published in The Review of Economics and Statistics (2018). I remember that there is an interpretation of the lambda parameter in the paper.
Guy Mélard Yes, I came across this article. Thank you for sharing it, I will go through it.
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