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GAUSS program for Hodrick-Prescott filter

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Author Info

  • Morten Ravn

    (European University Institute)

Abstract

This 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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File URL: http://dge.repec.org/codes/ravn/hp1.prg
File Function: program code
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Bibliographic Info

Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 101.

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Programming language: GAUSS
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Handle: RePEc:dge:qmrbcd:101

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