Hodrick Prescott one-sided filter
hpy = hpofilter(y,q)
* 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)
* 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=hpofilter(Fra_GDP,1/1600) // 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. | ![]() | ![]() |