IModelling.HpfP

Syntax

HpfP(Input: ITimeSeries;

Period: IMsPeriod;

[Power: Integer = 4]): Variant;

Parameters

Input. Smoothed variable.

Period. Period, at which the method is calculated

Power. The value of the degree applied to determine the smoothing parameter.

Description

The HpfP method smoothes a variable using the Hodrick-Prescott filter (smoothing parameter is power).

Comments

Features of setting parameters:

Period. If the parameter is set to Null, the method is calculated at the entire time period
Power. The parameter should be a positive number, the default value should be four.

The Hodrick-Prescott filter (smoothing parameter - lambda) is implemented by the IModelling.Hpf method.

Example

Executing the example requires that the repository contains a modeling container with the MS identifier. This container includes a model with the MODEL_D identifier that is calculated using the determinate equation method and contains at least one input variable.

Add links to the Metabase and Ms system assemblies.

Sub UserHpfP;
Var
    Mb: IMetabase;
    ModelSpace, ModelObj: IMetabaseObject;
    Transf: IMsFormulaTransform;
    Formula: IMsFormula;
    Model: IMsModel;
    Determ: IMsDeterministicTransform;
    TransVar: IMsFormulaTransformVariable;
    Slice: IMsFormulaTransformSlice;
    TermInfo: IMsFormulaTermInfo;
    Expr: IExpression;
Begin
    // Get repository
    Mb := MetabaseClass.Active;
    // Get modeling container
    ModelSpace := Mb.ItemById("MS").Bind;
    // Get model
    ModelObj := Mb.ItemByIdNamespace("MODEL_D", ModelSpace.Key).Edit;
    Model := ModelObj As IMsModel;
    // Get model calculation parameters
    Transf := Model.Transform;
    Formula := Transf.FormulaItem(0);
    Determ := Formula.Method As IMsDeterministicTransform;
    // Get the first input variable
    TransVar := Transf.Inputs.Item(0);
    Slice := TransVar.Slices.Item(0);
    TermInfo := Transf.CreateTermInfo;
    TermInfo.Slice := Slice;
    // Set mode of passing variable into calculation
    TermInfo.Type := MsFormulaTermType.Pointwise;
    // Get model calculation expression
    Expr := Determ.Expression;
    Expr.References := "Ms";
    // Set model calculation expression
    Expr.AsString := "HpfP(" + TermInfo.TermInnerText + ", SetPeriod(" +
        """" + "01.01.2000" + """" + "," + """" + "01.01.2015" + """" + "))";
    // Check if the expression is correct
    If Expr.Valid
        // If the expression is set correctly, save the model
        Then ModelObj.Save;
        // If the expression is incorrect, display a message to the console window
        Else Debug.WriteLine("Model is not saved: error in the formula");
    End If;
End Sub UserHpfP;

After executing the example the model will smooth data of the first input variable with the Hodrick-Prescott filter at the period from 2000 to 2015.

Example of Use in Expressions

Expression 1:

HpfP({Chicago - population[t]}, Null, 5)

Result: data of the Chicago - population[t] time series is smoothed with the Hodrick-Prescott filter at the entire data period. Exponential smoothing parameter is equal to five.

Use: it can be used in formulas of cross functional expression editor in any platform tool where it is available.

Expression 2:

HpfP(X1, SetPeriod("01.01.2000", "01.01.2015"))

Result: data of the X1 factor is smoothed with the Hodrick-Prescott filter at the specified data period.

Use: it can be used in model formulas of modeling container based on variables.