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Replication of Table 2 in [Hodrick and Prescott, 1997], [2/3 points] The aim is to replicate Table 2 in [Hodrick and Prescott, 1997]. These are
Replication of Table 2 in [Hodrick and Prescott, 1997], [2/3 points] The aim is to replicate Table 2 in [Hodrick and Prescott, 1997]. These are the recommended steps: Take a look at [Hodrick and Prescott, 1997] again, with a special focus on how they treat the data they are using. Notice they did NOT use the Fred as their source, so your calculations might be slightly different than theirs. List the time series you are going to need. Look for those time series directly on the website of the Fred so that you can keep track of the "key" they use to designate that series (recall you need the keyword they use in order for you to download the series into R). Take the series into R (or Excel). Apply the HP-filter to the series and keep the cyclical component only. Calculate the standard deviation of each ser
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