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MATLAB code for the Hodrick-Prescott filter

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Author Info

  • Ivailo Izvorski

    (Department of Economics, Yale University)

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    Abstract

    MATLAB code for the Hodrick-Prescott filter

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    File URL: http://dge.repec.org/codes/izvorski/hpfilter.m
    File Function: program code
    Download Restriction: none

    Bibliographic Info

    Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 1.

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    Programming language: MATLAB
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    Handle: RePEc:dge:qmrbcd:1

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    Lists

    This item is featured on the following reading lists or Wikipedia pages:
    1. List of examples of Stigler's law in Wikipedia (English)
    2. Hodrick–Prescott filter in Wikipedia (English)
    3. Quantitative Macroeconomics and Real Business Cycles (QM&RBC)
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