zhentaoshi/boosted_hp_filter

Functions and replication files for Peter Phillips and Zhentao Shi (2021): "Boosting: Why You Can Use the HP Filter"

Introduction

This is the repository for

Peter Phillips and Zhentao Shi, "Boosting: Why You Can Use the HP Filter," International Economic Review, 62(2), 521-570

It offers

• the function BoostedHP in R, STATA, MATLAB, Python and Julia.
• Replication code for simulations and empirical applications in the paper.

To R users: a dedicated R package BoostedHP is developed with vignette.

Contributors

Zhentao Shi, Yang Chen, Ziwei Mei and Shu Shen

Updates

• 11/5/2022: Stata code added by Shu Shen.
• 6/5/2022: Replication2.
• 11/18/2020: Replication files are added into the folder replications.
• 8/27/2020: python code and julia code are added by Ziwei Mei. The bHP-ADF result are slightly different from that of the R code because the ADF tests cited in these languages. In the scripts, the testing examples immediately follow the main function.
• 8/21/2020: Matlab code is added into the MATLAB folder. It produces exactly the same results as the R code. We offer two scripts under these folders:
  • BoostedHP contains the function to implement the automated boosted HP filter. The inputs and outputs are detailed in the beginning of the function.
  • testing_example is a script to demonstrate the usage of the filtering procedure.
• 8/18/2020: The R code is superseded by a new R package BoostedHP. See the vignette for its usage.