Hodrick-Prescott Filter

Version 1.0.0.0 (2,04 ko) par Wilmer Henao
Finds the Hodrick-Prescott filter of a series.
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Mise à jour 18 sept. 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

Citation pour cette source

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

Compatibilité avec les versions de MATLAB
Créé avec R13
Compatible avec toutes les versions
Plateformes compatibles
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Version Publié le Notes de version
1.0.0.0