[R] Hodrick-Prescott filter example

Roger Koenker roger at ysidro.econ.uiuc.edu
Wed Mar 6 22:05:19 CET 2002

To repeat:  the Hodrick-Prescott filter is just smooth.spline with a
particular choice of the penalty parameter lambda and equally spaced

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 Wed, 6 Mar 2002, Lukas Kubin wrote:

> Could someone, please, write me an example how to apply the
> Hodrick-Prescott in R? Previously (in this list) someone mentioned it is
> possible using the smooth spline library.
> Thank you.

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