We have built an accompanying repository for Peter Phillips and Shi (2019): “Boosting the Hodrick-Prescott Filter”.
We offer two R script files:
- BoostedHP.R contains the R function to implement the automated boosted HP filter. The inputs and outputs are detailed in the beginning of the function.
- testing_example.R is a script to demonstrate the usage of the filtering procedure.
We welcome comments about the paper and the code.
Yang Chen is developing the code here into an R package BoostedHP. Though it is at a very preliminary stage, it can be installed and implemented in R.