GAUSS program for Hodrick-Prescott filter

Morten Ravn

QM&RBC Codes from Quantitative Macroeconomics & Real Business Cycles

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.

Language: GAUSS
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Downloads: (external link)
https://dge.repec.org/codes/ravn/hp1.prg program code (application/x-gauss)
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Related works:
Journal Article: Postwar U.S. Business Cycles: An Empirical Investigation (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:dge:qmrbcd:101

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