Hamilton Filter in R

Install these packages if not installed

install.packages("readxl") #run if not installed

install.packages("neverhpfilter") #run if not installed

install.packages("writexl") #run if not installed

Run these packages

library(readxl)

library(neverhpfilter)

library(xts)

library(writexl)

#setting working directory

setwd("I:/My Drive/...")

#extracting the dataset

credit_gdp_data <- read_excel("file_name.xlsx",sheet = "sheet_name")

attach(credit_gdp_data)

credit_gdp <- credit_gdp_data$Credit/credit_gdp_data$NGDP*100

#hamilton filter

dates <- seq(as.Date("1975-07-15"),length=48,by="year")

credit_gdp1 <- as.xts(credit_gdp, order.by = dates)

names(credit_gdp1) <- "c_y"

c_y_filter <- yth_filter(credit_gdp1[,"c_y"],h=1,p=4)

c_y <- data.frame(dates,c_y_filter)


write_xlsx(c_y,"Hamilton.xlsx")


shell.exec("Hamilton.xlsx")

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