Name
hpofilter — Hodrick Prescott one-sided filter
CALLING SEQUENCE
hpy = hpofilter(y,q)
PARAMETERS
- Input
y = either
* a time series, or
* a real (nx1) vector, or
* a string equal to the name of a time series or a (nx1) real vector between quotes
q = relative variance of I(2) component (default values are 0.675*10^(-3) or 0.75*10^(-6) for quarterly or monthly data respectively)
- Output
hpy= the smoothed filtered series of the same type than y (if y is not a string) or evstr(y) (if y is a string)
DESCRIPTION
Applies to a series the one-sided Hodrick Prescott filter, assuming the series is a white-noise + I(2) model (see A. C. Harvey and A. Jaeger (1993), "Detrending, Stylized Fact, and the Business Cycle", Journal of Applied Econometrics, 8, pp. 231-247).
EXAMPLE
Xf=hpofilter(x,1/1600)
This example provides the one-sided equivalent of the traditional Hodrick Prescott filtering of a quarterly data x with parameter lambda=1600, whether x is a ts, a vector, or the name of such a variable between quotes.
AUTHOR
Emmanuel Michaux 2007