Smooth a series using the Hodrick-Prescott filter.
Syntax
series_name.hpf(options) filtered_name [@ cycle_name]
You may need to prepend the “show” keyword to display the graph the smoothed and original series.
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. |
m=arg (default=1) | Set number of iterations. |
ic | Use information criteria to determine the optimal number of iterations. |
prompt | Force the dialog to appear from within a program. |
If no smoothing option is specified, EViews will use the power rule with a value of 2.
Other Options
p | Print the graph of the smoothed series and the original series. |
Examples
gdp.hpf(lambda=1000) gdp_hpmodsel
smooths the GDP series with a smoothing parameter “1000” and saves the smoothed series as GDP_HP.
gdp.hpf(power=4) gdp_hp @ gdp_cycle
smooths the same series with a power parameter of “4” and saves the smoothed series as GDP_HP, and the cycle series as GDP_CYCLE.
Cross-references