Alternate GAUSS program for the Hodrick-Prescott Filter

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Alternate GAUSS program for the Hodrick-Prescott Filter

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Morten Ravn (European University Institute)

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Morten Overgaard Ravn

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.

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Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 102.

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Handle: RePEc:dge:qmrbcd:102

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Article
- 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.

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