MATLAB中有hpfilter函数(或者在MATLAB的帮助文档内搜索Hodrick)


Syntax


hpfilter(S)
hpfilter(S,smoothing)
T = hpfilter(...)
[T,C] = hpfilter(...)

Description


hpfilter(S) uses a Hodrick-Prescott filter and a default smoothing parameter of 1600 to separate the columns of S into trend and cyclical components. S is an m-by-n matrix with m samples from n time series. A plot displays each time series together with its trend (the time series with the cyclic component removed).

hpfilter(S,smoothing) applies the smoothing parameter smoothing to the columns of S. If smoothing is a scalar, hpfilter applies it to all columns. If S has n columns and smoothing is a conformable vector (n-by-1 or 1-by-n), hpfilter applies the vector components of smoothing to the corresponding columns of S.

If the smoothing parameter is 0, no smoothing takes place. As the smoothing parameter increases in value, the smoothed series becomes more linear. A smoothing parameter of Inf produces a linear trend component.

Appropriate values of the smoothing parameter depend upon the periodicity of the data. The following reference suggests the following values:

Yearly — 100

Quarterly — 1600

Monthly — 14400

T = hpfilter(...) returns the trend components of the columns of S in T, without plotting.

[T,C] = hpfilter(...) returns the cyclical components of the columns of S in C, without plotting.

可是想用eviews matlab实在不怎么会用额 还是谢啦

想简单操作就用Eviews,复杂一点就用matlab处理。

只是调用一下函数而已, 没难度啊

eviews改怎么操作哦  怎么才能取得数据额。。