Hodrick Prescott filter
[hpy]=hpfilter(y,lambda)
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
lambda = the smoothing parameter
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)
load(GROCERDIR+'data\Fra_GDP.dat') Xf=hpfilter('Fra_GDP',1600) // This example provides the traditional Hodrick Prescott filtering of a the French quarterly GD0 with parameter lambda=1600. | ![]() | ![]() |