The boosted HP filter is more general than you might think

arXiv:2209.09810v2 Announce Type: replace-cross
Abstract: 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 extends boosting's trend determination capability to higher order integrated processes and time series with roots that are local to unity. The theory is established by understanding the asymptotic effect of boosting on a simple exponential …

abstract arxiv boosting computational covid crisis data discovery econ.em environments filter financial financial crisis general global machine machine learning modern paper popular recession stat.ml think trend type