HPFilter.jl is a Julia module that implements the Hodrick-Prescott (HP) Filter as well as the boosted HP Filter based on Peter Phillips and Zhentao Shi (2019): "Boosting the Hodrick-Prescott Filter".
The original implementation in R by one of the coauthors can be found here.
This module can either be employed by cloning this repository or by using the Julia package manager. With the package manager simply use the add command:
(v1.3) pkg> add https://github.com/sdBrinkmann/HPFilter.jlThe basic usage is demonstrated with the US industrial production index (IPI) provided by FRED data service.
using HPFilter
using CSV
# Set path to directory where time series is located
path = "/.../data"
IPI = CSV.read("$(path)/IPB50001SQ.csv", copycols=true)
# HP filter with λ = 1600
hp = HP(IPI[!, 2], 1600)
# Boosted HP filter with baysian-type information criterion (BIC)
bHP_bic = bHP(IPI[!, 2], 1600, Criterion="BIC")
# Boosted HP filter with augmented Dickey-Fuller (ADF) test
bHP_adf = bHP(IPI[!, 2], 1600, Criterion="ADF", p=0.01)