Hodrick-Prescott Filter

[AlexeyS]

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

i have next data :

       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

http://support.sas.com/documentation/onlinedoc/ets/ex_code/121/ucmex05.html

how can i calculate HP Filter trend? 

Thank you 

[PGStats]

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

http://support.sas.com/documentation/cdl/en/etsug/67525/HTML/default/viewer.htm#etsug_ucm_examples05...

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