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hpfilter

Hodrick Prescott filter

CALLING SEQUENCE

[hpy]=hpfilter(y,lambda)

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

* lambda = the smoothing parameter

 

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

Hodrick-Prescott filter.

EXAMPLE

load(GROCERDIR+'/data\Fra_GDP.dat')
Xf=hpfilter('Fra_GDP',1600)
// This example provides the traditional Hodrick-Prescott filtering of a the French quarterly GDP with parameter lambda=1600.

AUTHOR

Eric Dubois 2003

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