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HPFilter
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| Organization: | Institute for Employment Research (IAB) |
| Department: | Department of Regional Economics |
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2005-10-05
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 This Mathematica 5.0 Package performs nonparametric spline smoothing for time series (called the Hodrick-Prescott-Filter in the econometrics literature). In addition to other implementations, the optimum smoothing parameter of the model is computed for a stochastic formulation of the data generating process.
To support versions 5.1 and up, option Method -> {"NelderMead", "PostProcess" ->False} has been added to the package.
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Hodrick-Prescott-Filter, Kalman filtering, time-varying coefficients, time series, adaptive estimation
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| HPFilter.m (5 KB) - Mathematica Package | | HPFilter.nb (145.2 KB) - Mathematica Notebook |
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