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Alternate GAUSS program for the Hodrick-Prescott Filter

Author

Listed:
  • Morten Ravn

    (European University Institute)

Programming Language

GAUSS

Abstract

There is an alternative version here where you call it as hpnew(dat,lambda) where dat is your data series and lambda is the value of the smoothing parameter.

Suggested Citation

  • Morten Ravn, "undated". "Alternate GAUSS program for the Hodrick-Prescott Filter," QM&RBC Codes 102, Quantitative Macroeconomics & Real Business Cycles.
  • Handle: RePEc:dge:qmrbcd:102
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    File URL: https://dge.repec.org/codes/ravn/hpnew.prg
    File Function: program code
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    Keywords

    GAUSS;

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