12-05-2015 12:54 PM
Hello, i would like to calculate trend through Hodrick-Prescott Filter.
i have next data :
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?
12-05-2015 11:07 PM
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.