Hodrick-Prescott Filter

The Hodrick-Prescott filter is a smoothing method applied to time series to determine long-term trends.

NOTE. In the Hodrick-Prescott Filter method the input variable also serves as the output variable. To create an equation, set the variable binding to itself.

To set up method parameters, use the Equation side panel tab.

To display the tab

Method parameters:

Smoothing Parameter. It controls series smoothness. The greater is the parameter value, the smoother is the series. If the smoothing parameter value tends to infinity, the series transforms into a linear trend. Select the method of setting smoothing parameter:
- Lambda. Default. Smoothing parameter depends on the lambda value. The default value is 100.
- Power. Smoothing parameter depends on the power value, which should be greater than zero. The default value is 2. The parameter is not available for the Hodrick-Prescott Filter (R) model.