Grocer Function
NAME
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
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