Hodrick-Prescott Filter

Versione 1.0.0.0 (2,04 KB) da Wilmer Henao
Finds the Hodrick-Prescott filter of a series.
4.6
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15,2K download
Aggiornato 18 set 2003

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This m-file finds the Hodrick-Prescott filtered series of any trendy time series; H-P is widely known in econometrics and can be used to analyse the trends and volatility of the series.

This version uses sparse matrices, this approach increases speed and performance and allows working with several time series simultaneously. The option 'makeplot' plots every time series introduced against its filtered counterpart and the output desvabs gives a "measure" of the volatility.

Download and type Help hpfilter for more details

Inspired in hpfilter by Ivailo Izvorski and Gauss code by Ken Matheny

Cita come

Wilmer Henao (2024). Hodrick-Prescott Filter (https://www.mathworks.com/matlabcentral/fileexchange/3972-hodrick-prescott-filter), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R13
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Versione Pubblicato Note della release
1.0.0.0