This is a special case of smooth.spline in modreg.
url: http://www.econ.uiuc.edu Roger Koenker
email roger at ysidro.econ.uiuc.edu Department of Economics
vox: 217-333-4558 University of Illinois
fax: 217-244-6678 Champaign, IL 61820
On Thu, 6 Dec 2001, Nick Davis wrote:
> Has anyone written any code for the Hodrick-Prescott filter? I have a some
> uncompiled FORTRAN code from Ed Prescott but I'd like to save myself
some
> programming time if possible. Thanks for your help.
>
> Nick Davis
> Crown Financial Policy
> Asset and Liability Management Branch
> The New Zealand Treasury
>
> Direct: +64-4-471-5924
> Fax: +64-4-499-0143
> Email: mailto:nick.davis at treasury.govt.nz
> Web: www.treasury.govt.nz
> Research: www.treasury.govt.nz/workingpapers
>
>
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