Dear All, I'm looking into different ways of applying the Hodrick-Prescott Filter and I'm getting different results between the procedures below. I have not been able to understand these differences based on the online documentation and was hoping you might have some insight. The first approach uses proc expand: proc expand data=Int_qtr_l out=filter_data_out method=none; id Year_quarter2; Convert ODR_l=ODR_l_hpt/transformout=(hp_t 1600); Convert ODR_l=ODR_l_hpc/transformout=(hp_c 1600); run; While the 2nd uses proc UCM: proc ucm data=Int_qtr_l ; id Year_quarter2 interval=qtr; model ODR_l; irregular plot=smooth print=smooth; level var=0 noest plot=smooth print=filter; slope var=0.000625 noest print=filter; estimate PROFILE; forecast plot=(decomp); run; I was expecting the smoothed irregular component from proc ucm to match the cyclical HP series from proc expand, but there seems to be fairly large differences. Any ideas? Thanks
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