Hodrick-Prescott Filter

Finds the Hodrick-Prescott filter of a series.

Description

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

Acknowledgements

This file inspired Analyze Fex Download Data.

• MATLAB release: MATLAB 6.5 (R13)

[amira sultan]

excellent

[amira sultan]

excellent

[HP Filter]

There is also an online Hodrick-Prescott filter at http://ideas.repec.org/c/dge/qmrbcd/97.html

[fatima zahra taouss]

can I use excel to run Hodrik-Prescott filter?

[Jürgen Raue]

sehr gute verständliche arbeit. könnte nur noch durch ein wenig theoetischen hintergrund verbessert werden

[Kurt Annen]

Look at www.web-reg.de. There is an Add-In for the HP-Filter (freeware). Unfortunality it is in german language. a translation will follow.

[Nadir Yigitcanoglu]

Can I find a patch for excel to run Hodrick-Prescott filter?

Thanx

[cristiano angelis]

 

[cristiano angelis]