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Hodrick-Prescott Filter

  • 18-04-2010 5:32pm
    #1
    patriks
    Closed Accounts Posts: 62 ✭✭


    Heya guys,

    I'm looking at using the Hodrick-Prescott filter to observe original series' trends and some detrended series. Does Excel provide these features or will I need to look at other software packages? If the latter is true, which software package would be best?

    Thanks in advance!;)


Comments

  • #2
    Flamed Diving
    Closed Accounts Posts: 6,609 ✭✭✭Flamed Diving


    RATS is a widely-used time series tool. I also hear that "R" is good for this, and it is free.


  • #3
    Économiste Monétaire
    Closed Accounts Posts: 2,208 ✭✭✭Économiste Monétaire


    R will do this.


  • #4
    Flamed Diving
    Closed Accounts Posts: 6,609 ✭✭✭Flamed Diving


    Search the forum for "Farnsworth" for a PDF tutorial.


  • #5
    patriks
    Closed Accounts Posts: 62 ✭✭patriks


    Thanks guys! R looks good.

    On a slightly different - but related - topic:
    How could one determine the steady state of a model where you have obtained dy/dx. i.e. Hypothetically, if: dy/dx = .5x^2 - .6x, how could could one determine the steady state? (By the way, I'm not sure how realistic those figures are, I'm just wondering about the general approach.)
    Also, how could one graph the differential equation in a phase diagram? (Again, I'm just wondering about the relevant approaches.)
    More specifically, that should probably be dx/dt, given that it's with respect to time, right?

    Cheers.


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