filter

function for filtering

quantecon.filter.hamilton_filter(data, h, *args)[source]

This function applies “Hamilton filter” to the data

http://econweb.ucsd.edu/~jhamilto/hp.pdf

Parameters:
data : arrray or dataframe
h : integer

Time horizon that we are likely to predict incorrectly. Original paper recommends 2 for annual data, 8 for quarterly data, 24 for monthly data.

*args : integer

If supplied, it is p in the paper. Number of lags in regression. Must be greater than h. If not supplied, random walk process is assumed.

Note: For seasonal data, it’s desirable for p and h to be integer multiples

of the number of obsevations in a year. e.g. For quarterly data, h = 8 and p = 4 are recommended.

Returns:
cycle : array of cyclical component
trend : trend component