[R] Hodrick-Prescott filter example
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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