Hodrick-Prescott filter. hpf smooths a series using the Hodrick-Prescott filter.

Syntax

Command: hpf(n, options) series_name filtered_name

Series Proc: series_name.hpf(n, options) filtered_name

Follow the hpf keyword with the name of the series you want to filter and a name for the filtered series.

When used as a series procedure, hpf smooths the series without displaying the graph of the smoothed series.

Options

n You may specify the smoothing parameter; a larger number results in more smoothing. The default is "100" for annual, "1600" for quarterly, and "14400" for monthly data.
p Print the graph of the smoothed series and the original series.
Examples

The command

hpf(1000) gdp gdp_hp

smooths the GDP series with a smoothing parameter "1000" and saves the smoothed series as GDP_HP.

Cross-references

See Hodrick-Prescott Filter for details.