one sided HP Filter

February 14, 2019
Posted in Info
February 14, 2019 annenk

Info

In the past many user repeatedly requested an one sided HP Filter in VBA. With just a few extra lines of code it is possible to extend my implementation of the HP Filter. It is a serial implementation. You have only have to add the code in the add-in or in your Excel sheet.

 

Best Kurt

'**************************************************
'* Kurt Annen                                     *
'* 02.06.19                                       *
'* One Sided HP filter                            *
'* serial implementation                          *
'* © 2019 [web:reg] Kurt Annen - www.web-reg.de   *
'**************************************************
Function HP_OS_S(data As Range, lambda As Double)
Dim nobs As Long, i As Long, j As Long, tmp1 As Variant, tmp2 As Variant, rng As Range
nobs = data.Rows.Count
ReDim tmp1(1 To nobs, 1 To 1)
' loop through time series
For i = 1 To nobs
Set rng = data.Resize(i, 1)
tmp2 = HP(rng, lambda)
tmp1(i, 1) = tmp2(i, 1)
Next i
Set rng = Nothing
HP_OS_S= tmp1
End Function
,

Comments (2)

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