Help using Base SAS procedures

Hodrick-Prescott Filter

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Contributor
Posts: 61

Hodrick-Prescott Filter

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 

 

Respected Advisor
Posts: 4,919

Re: Hodrick-Prescott Filter

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.

PG
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