HPFILTER—Various adjustments to Hodrick-Prescott filter

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

HPFILTER—Various adjustments to Hodrick-Prescott filter

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HPFILTER.RPF examines the state-space model underlying the Hodrick-Prescott filter using the DLM instruction, relaxing the variance ratio used in the HP filter.

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