Re: [Gretl-devel] Hodrick-Prescott parameter
On Fri, 14 Oct 2016, Ignacio Diaz-Emparanza wrote:
The 'hpfilt' function we have in gretl has a fixed value for
lambda, and the
defaults we have do not seem to be the better.
Actually, you can call hpfilt with a second optional parameter:
<hansl>
open fedstl.bin
data indpro
logs indpro
series hpt_l_indpro = l_indpro - hpfilt(l_indpro)
series hpt_l_indpro2 = l_indpro - hpfilt(l_indpro, 129600)
</hansl>
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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