-----BEGIN PGP SIGNED MESSAGE----- Hash: SHA1 Could someone, please, write me an example how to apply the Hodrick-Prescott in R? Previously (in this list) someone mentioned it is possible using the smooth spline library. Thank you. lukas - -- Lukas Kubin lukas.kubin at permonik.com phone: 00420603836180 -----BEGIN PGP SIGNATURE----- Version: GnuPG v1.0.5 (GNU/Linux) Comment: For info see http://www.gnupg.org iD8DBQE8hnko4TIZ2lmUAtsRAo8wAKCWjskMH1L6c5IjattjUMSUPF2Y7ACcDHEQ o6q5jVoVjJG/ogEMgSiBqVs=Cgpd -----END PGP SIGNATURE----- -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
To repeat: the Hodrick-Prescott filter is just smooth.spline with a particular choice of the penalty parameter lambda and equally spaced observations. 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 Wed, 6 Mar 2002, Lukas Kubin wrote:> Could someone, please, write me an example how to apply the > Hodrick-Prescott in R? Previously (in this list) someone mentioned it is > possible using the smooth spline library. > Thank you. >-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
eye <- diag( length(y) ) d <- diff( eye, d=2 ) z <- solve( eye + lambda * crossprod(d), y ) On 6 Mar 2002 at 21:16, Lukas Kubin wrote:> Could someone, please, write me an example how to apply the > Hodrick-Prescott in R? Previously (in this list) someone mentioned it is-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._