Hodrick-Prescott Filter

AlexeyS — Sat, 05 Dec 2015 17:54:27 GMT

Hello, i would like to calculate trend through Hodrick-Prescott Filter.

i have next data &colon;

time Price

10:10:10.10 101

10:10:11.12 102

10:10:12.56 101.2

10:10:12.57 101.2

10:10:16.11 101.8

10:10:16.19 102.1

i found the next link to calculate HP, but i don't undestand it, and i don't think it suitable for time data

how can i calculate HP Filter trend?

Thank you

Re: Hodrick-Prescott Filter

PGStats — Sun, 06 Dec 2015 04:07:09 GMT

Proc UCM requires a regularly spaced time series. You'll find a better explanation of the example here :

You can use proc expand to transform your irregular time series into a regular one.