GAUSS program for Hodrick-Prescott filter
AbstractThis program is relatively fast if you're filtering many time series. You call the procedureby the command hp1(dat) where dat is your data. Remember to take logs and to specify the smoothing parameter in the program itself.
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Bibliographic InfoSoftware component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 101.
Programming language: GAUSS
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Other versions of this item:
- Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
- List of examples of Stigler's law in Wikipedia (English)
- Hodrick–Prescott filter in Wikipedia (English)
- Quantitative Macroeconomics and Real Business Cycles (QM&RBC)
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