One-sided Hodrick-Prescott Filer

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The standard two-sided Hodrick–Prescott filter (implemented by NumXL) is non-causal as it is not purely backward looking. One way around this is to use the one-sided Hodrick–Prescott filter.

however wanted to know if anyone has implemented the one-sided version of the filter in Excel and would like to share?

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1 comment
  • To do the one-side HP, we need to pick the last data point of the two-sided for each sub-sample.of the time series that begins with its first period. See the attached file:

    In the spreadsheet, I used the Excel's INDEX and COUNTA function to return the last data-point in the returned array by the two-sided HP function for each sub-sample. In a nutshell, I am only backward looking.

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