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 GDP with parameter lambda=1600. | ![]() | ![]() |