How can we convert this R code into SAS ETS ?
We have run this code on sashelp.air file - see results attached
-------------------------------------------------------------------------- The code -----------------------------------------------------------
#change the path
df<- read.csv("\download\AIR.csv")
lambda=26000
HP_FILTER_AIR= hpfilter(df$AIR,type=c("lambda"),drift=FALSE,freq=lambda)
df$cycle <- HP_FILTER_AIR$cycle
df$trend <- HP_FILTER_AIR$trend
---------------------------------------------------------------------------------------------------------------------------------------------------
Many thanks
See this example in the documentation of the UCM procedure:
SAS Help Center: Trend Removal Using the Hodrick-Prescott Filter
See also this discussion by @rselukar : Solved: Hodrick-Prescott Filter Comparison - SAS Support Communities
Calling @Rick_SAS
Check PROC TIMESERIES and its options:
OUTTREND= OUTSEASON=
P.S. check the examples in documentation,
Check PROC UCM
And I quote:
The UCMs are also called structural models in the time series literature. A
UCM decomposes the response series into components such as trend, seasonals, cycles, and the regression
effects due to predictor series.
See this example in the documentation of the UCM procedure:
SAS Help Center: Trend Removal Using the Hodrick-Prescott Filter
See also this discussion by @rselukar : Solved: Hodrick-Prescott Filter Comparison - SAS Support Communities
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