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Do-file STATA

R - code HP filter



References on HP lambda values:

Main article(s):
Hodrick, R.J. and Prescott, E.C., 1997. Postwar US business cycles: an empirical investigation. Journal of Money, credit, and Banking, pp.1-16.

Harvey, A. C. and Jaeger, A., 1993. Detrending, stylized facts and the business cycle, Journal of Applied Econometrics, pp. 231-247

Some alternatives:
Reeves, J.J., Blyth, C.A., Triggs, C.M. and Small, J.P., 2000. The Hodrick-Prescott filter, a generalization, and a new procedure for extracting an empirical cycle from a series.

Ravn, M.O. and Uhlig, H., 2002. On adjusting the Hodrick-Prescott filter for the frequency of observations. Review of economics and statistics, 84(2), pp.371-376.

Mills, T.C., 2003. Modelling trends and cycles in economic time series (Vol. 10). Basingstoke: Palgrave Macmillan.


Alternative view by James Hamilton:
Hamilton, J.D., 2018. Why you should never use the Hodrick-Prescott filter. Review of Economics and Statistics, 100(5), pp.831-843.



Setting up R and R studio




HP filter using R

Last modified: Friday, 16 September 2022, 4:09 PM