CODEWITHSUNDEEP
r
jessica
jessica

Reputation: 1355

HP Filter Using R

I am loading GDP data into R from Fred and using a HP filter to find the cycle component. I am struggling to add the date on the X axis. I tried converting the data into a numeric or a dataframe but I keep getting a "cannot be coerced" error message. What am I doing wrong?

library(mFilter)
library(quantmod)
getSymbols('GDP',src='FRED')
plot(hpfilter(log(GDP),freq = 1600))

enter image description here

Upvotes: 2

Views: 15825

Answers (1)

user3710546
user3710546

Reputation:

You can mimic the output of plot.hpfilter:

library(mFilter)
library(quantmod)
getSymbols('GDP',src='FRED')
hpf <- hpfilter(log(GDP),freq = 1600)

out <- xts(cbind(hpf$x, hpf$trend, hpf$cycle), index(GDP))
colnames(out) <- c("x", "trend", "cycle")

par(mfrow = c(2, 1), mar = c(3, 2, 2, 1))
plot(out[,"x"], t= "n", main = paste(hpf$title, "of", hpf$xname))
lines(out[,"x"], col = "steelblue")
lines(out[,"trend"], col = "red")
legend("topleft", legend = c(hpf$xname, "trend"), col = c("steelblue", "red"), lty = rep(1, 2), ncol = 2)
plot(out[,"cycle"], t = "n", main = "Cyclical component (deviations from trend)")
lines(out[,"cycle"], col = "steelblue")

enter image description here

Upvotes: 5

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