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Hodrick-Prescott Filter

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17 Sep 2003 (Updated )

Finds the Hodrick-Prescott filter of a series.

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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)
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Comments and Ratings (10)
13 Oct 2014 Panty

is there any available m-file which corrects for the end-of-sample problem that filters like this face? Thank you

21 Sep 2008 amira sultan

excellent

21 Sep 2008 amira sultan

excellent

16 Jul 2005 HP Filter

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

06 Jul 2005 fatima zahra taouss

can I use excel to run Hodrik-Prescott filter?

15 Jun 2004 Jürgen Raue

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

17 May 2004 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.

04 Dec 2003 Nadir Yigitcanoglu

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

Thanx

02 Oct 2003 cristiano angelis  
02 Oct 2003 cristiano angelis  

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