filter

quantecon.filter.hamilton_filter(data, h, p=None)

This function applies “Hamilton filter” to the data

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

Parameters:

dataarray or dataframe

hinteger

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

pinteger (optional)

If supplied, it is p in the paper. Number of lags in regression. If not supplied, random walk process is assumed.

Returns:

cyclearray of cyclical component

trendtrend component

Notes

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.