Hodrick-Prescott Filter

Version 1.0.0.0 (2.04 KB) by Wilmer Henao
Finds the Hodrick-Prescott filter of a series.
4.6
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15.2K Downloads
Updated 18 Sep 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

Cite As

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

MATLAB Release Compatibility
Created with R13
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired: Analyze FEX download data

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Version Published Release Notes
1.0.0.0