Grocer Function

NAME

hpfilter - Hodrick Prescott filter

CALLING SEQUENCE

[hpy]=hpfilter(y,lambda)

PARAMETERS

Input

Output

DESCRIPTION

Hodrick Prescott filter.

EXAMPLE

Xf=hpfilter(x,1600)

This example provides 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

Eric Dubois 2003