Feature request: standard econ filters/smoothers

[jstac]

I don't think there are any packages in Julia that implement nice versions of the standard filters used in econ, like the HP filter. See, e.g., time series filters here:

http://statsmodels.sourceforge.net/stable/tsa.html#time-series-filters

This is another important filter, for seasonal adjustment:

https://www.census.gov/srd/www/x13as/x13down_unix.html

In Python and R there are wrappers:

https://github.com/christophsax/seasonal
http://statsmodels.sourceforge.net/devel/_modules/statsmodels/tsa/x13.html

but not Julia, as far as I know.

[robertdkirkby]

Sébastian Villemot @sebastien-villemot wrote command to implement the hpfilter would likely be easy enough to just use his as base for the package. He likes free software so I imagine he would be happy enough for you to use it.
http://www.econforge.org/posts/2014/juil./28/cef2014-julia/

[svillemot]

Sure, feel free to reuse that code under a BSD or GPL license.

[jstac]

@sebastien-villemot Many thanks.

Anyone interested in this project please let me know.

[vgregory757]

I will work on some of the time series filters from statsmodels.

[sglyon]

Sounds great.

Make sure to check the license on stats models before looking at their code.

[cc7768]

Statsmodels seems to be licensed under Modified BSD (3-clause)

[mm3509]

How about the seasonality filter with X-13ARIMA, did that suggestion go places, or does it exist in another package?

[andi3141]

I am interested in the project. As this issue is still marked open, is anyone working on it?

[jstac]

@Shunsuke-Hori , you did some work with filters didn't you?

[Shunsuke-Hori]

@jstac @andi3141 Yes

• HP filter: https://github.com/QuantEcon/QuantEcon.jl/blob/master/src/filter.jl#L12
• Hamilton filter: https://github.com/QuantEcon/QuantEcon.jl/blob/master/src/filter.jl#L44
• Kalman smoother: https://github.com/QuantEcon/QuantEcon.jl/blob/master/src/kalman.jl#L186
  • Not mine, but there is a PR for Kalman filter in Made a kalman_filter method similar to kalman_smooth. #235
• two more PRs (to be merged, I think): BK filter (add Baxter King filter #223) and regime-switching (Add filer and smoothing for regime switching model  #250)

[jstac]

@andi3141 , would you be willing to look at the existing filters in the library, linked to above, and then review those open PRs?

That might be a good way to get started.

@sglyon How does this sound to you? (Some of those PRs have already had input and could be ready to merge without further review.)

[andi3141]

@jstac sure, no problem. Happy to help

[sglyon]

Thanks @jstac that sounds good to me.

@andi3141 please take a look at the pull requests and leave a comment when you've finished reviewing. Then we can work towards getting them merged.