[R] Code for Hodrick-Prescott Filter

Roger Koenker roger at ysidro.econ.uiuc.edu
Wed Dec 5 23:03:02 CET 2001

This is a special case of smooth.spline in modreg.

url:	http://www.econ.uiuc.edu		Roger Koenker
email	roger at ysidro.econ.uiuc.edu		Department of Economics
vox: 	217-333-4558				University of Illinois
fax:   	217-244-6678				Champaign, IL 61820

On Thu, 6 Dec 2001, Nick Davis wrote:

> Has anyone written any code for the Hodrick-Prescott filter?  I have a some
> uncompiled FORTRAN code from Ed Prescott but I'd like to save myself some
> programming time if possible.  Thanks for your help.
> Nick Davis
> Crown Financial Policy
> Asset and Liability Management Branch
> The New Zealand Treasury
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