BIVARIATEHP—Bivariate Hodrick-Prescott filter

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

BIVARIATEHP—Bivariate Hodrick-Prescott filter

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BIVARIATEHP.RPF provides an example of a bivariate Hodrick-Prescott (HP) filter. There's a common growth component for both series. Each series has its own intercept and loading on the growth component.

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