Smooth a series using the Hodrick-Prescott filter.
Syntax
hpf(options) series_name filtered_name [@ cycle_name]
Smoothing Options
The degree of smoothing may be specified as an option. You may specify the smoothing as a value, or using a power rule:
lambda=arg | Set smoothing parameter value to arg; a larger number results in greater smoothing. |
power=arg (default=2) | Set smoothing parameter value using the frequency power rule of Ravn and Uhlig (2002) (the number of periods per year divided by 4, raised to the power arg, and multiplied by 1600). Hodrick and Prescott recommend the value 2; Ravn and Uhlig recommend the value 4. |
If no smoothing option is specified, EViews will use the power rule with a value of 2.
Other Options
prompt | Force the dialog to appear from within a program. |
p | Print the graph of the smoothed series and the original series. |
Examples
hpf(lambda=1000) gdp gdp_hp
smooths the GDP series with a smoothing parameter “1000” and saves the smoothed series as GDP_HP.
Cross-references
See
Series::hpf for the equivalent series object command.