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
Can I use this code for daily time series?
with many thanks
is there any available m-file which corrects for the end-of-sample problem that filters like this face? Thank you
There is also an online Hodrick-Prescott filter at http://ideas.repec.org/c/dge/qmrbcd/97.html
can I use excel to run Hodrik-Prescott filter?
sehr gute verständliche arbeit. könnte nur noch durch ein wenig theoetischen hintergrund verbessert werden
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.
Can I find a patch for excel to run Hodrick-Prescott filter?