Packages to implement 1-sided HP filter?

General DSGE Modeling
1

Hello,

I used a two-sided HP filter when detrending my data initially, rather than a one-sided HP filter. Are there any programs that include one-sided HP filters, or have good 2nd-party programs to do so? I would prefer not to implement one myself, but programs don’t seem to implement this as standard (i.e. Stata only has two-sided filters, for example).

I have access to:
EViews
Stata
Matlab (basic program, no additional packages)
R
Python or Julia (if necessary, though I am not at all well-versed in either of these)

Thanks!

2

Regarding the one-sided HP-filter: it is now contained in the Dynare unstable version. You can also download the Matlab file here: raw.githubusercontent.com/DynareTeam/dynare/master/matlab/one_sided_hp_filter.m

3

Thank you!

4

Hi kgrab,

For Stata implementation please have a look here https://econpapers.repec.org/software/bocbocode/S458691.htm

Best,
Narek Ohanyan