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Dear All, How to do Hodrick-Prescott Filter in R? Thanks! [[alternative HTML version deleted]]

...would be nice as I don't always work with quarterly data. Thanks & Regards, Nick Davis -----Original Message----- From: Roger Koenker [mailto:roger at ysidro.econ.uiuc.edu] Sent: Thursday, 6 December 2001 11:03 a.m. To: Nick Davis Cc: r-help at stat.math.ethz.ch Subject: Re: [R] Code for Hodrick-Prescott Filter 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 w...

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:...

Could someone, please, write me, how to compute the spar-value for the smooth.spline-routine to get the same HP-filtered time-series with a parameter lambda for a function (see mail "Hodrick-Prescott-Filter example" from ggrothendieck at yifan.net): hpf <- function(y,lambda{ eye <- diag(length(y)) d <- diff(eye,d=2) z <- solve(eye+lambda*crossprod(d),y)} ? Second, is there a connection between the parameter lambda in this function and the value $lambda of the smoot...

...,as.numeric(index(d.zoo))), xlab = "Year") # one straight line, no matter the value of spar What am I doing wrong? (The unsmoothed series plots just fine - a noisy upward trend) Thanks in advance. P.S. I would really just like to keep varying the penalty parameter 'lambda' of a Hodrick-Prescott filter until I get a 'smooth enough' series, but an archive search suggests that if I ask for this, some smarty pants will reply saying that the HP filter is just the smooth.spline function applied with a particular choice of lambda and equally spaced observations. _______________...

...I have 38 scenes. For certain periods I have monthly data while for others, images are up to three months apart. So far I have been using linear regression between NDVI (Normalized Difference Vegetation Index) and time to get an overall trend and then plotting the long term trend with the mFilter (Hodrick-Prescott filter). Additional to this I would like to plot a full time series of monthly rainfall data (with no missing data) against my irregular ts. I thus have the following questions, 1. While the mFilter does provide a good trend profile I would like to use a ts analysis procedure which is tai...

...? residuals are loaded into rsd, but this variable is not used after... I looked at KalmanForecast and at the C code of KalmanFore, but it did not help me understand what was going on. thanks Franck A. btw, it has nothing to do with it, but i've done some stuff on time series (filtering with Hodrick prescott or Baxter King, for instance) that you can find on http://arnaud.ensae.net [[alternative HTML version deleted]]

...CRAN. The package implements several time series filters useful for smoothing and extracting trend and cyclical components of a time series. The routines are commonly used in economics and finance, however they should also be interest to other areas. Currently, Christiano-Fitzgerald, Baxter-King, Hodrick-Prescott, Butterworth, and trigonometric regression filters are included in the package. Cheers, -- Mehmet Balcilar, PhD Associate Professor of Econometrics Cukurova University College of Economics & Administrative Sciences Department of Econometrics Balcali, Adana 01330 Turkey Tel: +90 (...