One-sided HP-filter

[GianAndri]

Hi

Is it possible to implement a one-sided (ie backward-looking) HP filter in stata?
I just found the standard two-sided (tsfilter hp in stata) HP filter.. Or can I change it to a one-sided HP filter?

Thx for any help

[Jorge Eduardo Perez Perez]

I know that you can estimate the Hodrick Prescott filter using sspace

http://www.statalist.org/forums/foru...s-of-variables

From there you can use the option smethod(filter) in predict after sspace to obtain estimates of the trend that are backward looking.

[chris2377]

Maybe this will help you:
http://www.statalist.org/forums/foru...ng-tsfilter-hp

[Aminata Kane]

Hi, I need to determine the trend using the HP filter recursively. I don't know what is the difference between HP-filter on ex-post and recursive HP-filter. Can you help me please ?

[Narek Ohanyan]

Hi GianAndri,

I have developed an SSC package to implement the one-sided HP filter in Stata. You can check it out here https://econpapers.repec.org/softwar...de/S458691.htm

Best,
Narek Ohanyan