The boosted HP filter is more general than you might think

09/20/2022

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by   Ziwei Mei, et al.

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The global financial crisis and Covid recession have renewed discussion concerning trend-cycle discovery in macroeconomic data, and boosting has recently upgraded the popular HP filter to a modern machine learning device suited to data-rich and rapid computational environments. This paper sheds light on its versatility in trend-cycle determination, explaining in a simple manner both HP filter smoothing and the consistency delivered by boosting for general trend detection. Applied to a universe of time series in FRED databases, boosting outperforms other methods in timely capturing downturns at crises and recoveries that follow. With its wide applicability the boosted HP filter is a useful automated machine learning addition to the macroeconometric toolkit.