HPFILTER Procedure

@HPFILTER is an old procedure for doing the Hodrick-Prescott(1997) filter. The HP filter is now included directly in the FILTER instruction, with TYPE=HP.

@HPFILTER series start end growth_component

Wizards

The HP filter is included in the Data/Graphics—Filter/Smooth Wizard. (This uses the FILTER instruction, not the older procedure).

Parameters

series	series to filter
start, end	range of series to use. By default, the defined range of series.
growth_component	smoothed series to create

Options

LAMBDA=smoothing parameter [1600, which is the standard value for quarterly data]

Using FILTER Instead

@HPFILTER(LAMBDA=lambda) x start end y

would be replaced by

FILTER(TUNING=lambda) x start end y

Note that FILTER automatically adjusts the tuning parameter to the standard values for the main frequencies (100 for annual, 1600 for quarterly, 14400 for monthly).