chenyang45/boostedhp

packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"

Boosted HP Filter

This repo will not be updated anymore.

The latest version is maintained at https://github.com/zhentaoshi/bHP_R_pkg.

boostedhp's Issues

Plots are not working

Hi! Thanks for your package.

Plots are not working for me, following your file Example.R:

> plot(bx_ADF)
Error in xy.coords(x, y, xlabel, ylabel, log) : 
  'x' is a list, but does not have components 'x' and 'y'
> plot(bx_BIC, interval_t = 0.8 )
Error in xy.coords(x, y, xlabel, ylabel, log) : 
  'x' is a list, but does not have components 'x' and 'y'
> plot(bx_none,plot_type = "JS")
Error in xy.coords(x, y, xlabel, ylabel, log) : 
  'x' is a list, but does not have components 'x' and 'y'

bHP crashes with R 4.2.2

Hi,
Thanks for making this code available.
I've been using this code a few times with older versions of R. I just upgraded to R 4.2.2 (on Ubuntu 22.04) and it crashes (R needs to restart) without leaving any message.

Is this problem known?

Cheers
Gianni

Need to solve the "devtool" problem

We should solve it by ourselves. We should also automate the dependence of other packages.

Road map toward a full package

I have a few thoughts about how to develop the package into a full-fledged one. Now we only have a skeleton.

• Make the output list of the main function as an R object with a name, say bHP
• Require the input x be a ts object, so that we can keep the time series information and attach it onto the returned cycle and residual
• R runs on many generic methods, for example plot and residuals. In our case, we can use
  • residuals to extract the cyclical component
  • predict to extract the trend component
  • plot to display the graph of the raw time series and the estimated trend
  • Is there some method called information criterion or something that is used to track the path of the p-value of ADF or the value of BIC?

Generate PDF manual

I tried devtools::check(manual=TRUE), which is supposed to generate the PDF manual.

It runs a lot of lines, but an error was reported and the executed was halted.