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Fast Hodrick Prescott Filter 1.0

  Date Added: June 16, 2013  |  Visits: 170

Fast Hodrick Prescott Filter

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The Hodrick Prescott Filter (HP-Filter) is the most popular method to separate a time series x_t into its components. Let's suppose that the original series is composed of a trend component g_t and a cyclical component c_t.Solving the minimization problem is quite simple. This program decomposes a times series by the Hodrick Prescott Filter. To accelerate the computation the Add-In makes use of the penta-diagonal structure of the coefficient-matrix. So detrending a lot of data points is not a problem for this program.

Requirements: No special requirements
Platforms: Matlab
Keyword: Accelerate Addin Coefficientmatrix Computation Decomposes Detrending Makes Method Minimization Pentadiagonal Points Problem Program Separate Series Simple Structure Times Tsolving
Users rating: 0/10

License: Shareware Size: 10 KB
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