HpfR

Syntax

HpfR(Input: ITimeSeries,
Period: IMsPeriod,
Lambda: Integer)

Parameters

Input. Smoothed variable

Period. The period, at which method is calculated. If the parameter value is Null, the method is calculated at the entire time period

Lambda. The parameter controls the measure of variable smoothness. Optional parameter. Parameter must be a positive number. By default the parameter is equal to 100.

Description

It smoothes data of the variable with the Hodrick-Prescott filter using the R package.

Comments

The Hodrick-Prescott filter is a method of time series smoothing that is used to identify long-term trends of a time series. The method was first used to analyze business cycles in US post-war economy.

Integration with R must be set up in the repository to use this method. For more details about integration setup see the How to Set Up Integration with R? section.

Example

Formula	Result	Application
= HpfR({Chicago - population[t]}, Null, 130)	Data of the Chicago - population[t] time series is smoothed with the Hodrick-Prescott filter at the entire data period. Smoothing parameter equals to 130. Calculation is executed using the R package.	It can be used in formulas of calculated series of time series database and model formulas of modeling container that is a child of the time series database.
= HpfR(X1, setperiod("01.01.2000", "01.01.2015"))	Data of the X1 factor is smoothed with the Hodrick-Prescott filter at the specified data period using the R package.	It can be used in model formulas of modeling container.