Publisher review:Hodrick-Prescott Filter finds the Hodrick-Prescott filter of a series. This m-file finds the Hodrick-Prescott filtered series of any trendy time series; H-P is widely known in econometrics and can be used to analyse the trends and volatility of the series.This version uses sparse matrices, this approach increases speed and performance and allows working with several time series simultaneously. The option 'makeplot' plots every time series introduced against its filtered counterpart and the output desvabs gives a "measure" of the volatility. Requirements: ยท MATLAB Release: R13
Hodrick-Prescott Filter is a Matlab script for Earth Sciences scripts design by Wilmer Henao.
It runs on following operating system: Windows / Linux / Mac OS / BSD / Solaris.
Hodrick-Prescott Filter finds the Hodrick-Prescott filter of a series.
Operating system:Windows / Linux / Mac OS / BSD / Solaris