ISmHodrickPrescottFilter.SmoothingParameterMode

Syntax

SmoothingParameterMode: HPSmoothingParameterModeType;

Description

The SmoothingParameterMode property determines the method of setting the smoothing parameter.

Comments

The following values are available for SmoothingParameterMode:

HPSmoothingParameterModeType.SetByFrequencyRule. Smoothing parameter is determined by power value: ISmHodrickPrescottFilter.Power.
HPSmoothingParameterModeType.EditDirectly. Default value. Smoothing parameter depends on lambda value: ISmHodrickPrescottFilter.SmoothingParameter.

Example

Add a link to the Stat system assembly.

Sub Print(Data: Array Of Double);
Var
    i: Integer;
Begin
    For i := 0 To Data.Length - 1 Do
        If Double.IsNan(Data[i]) Then
            Debug.WriteLine("----empty---");
            Else
                Debug.WriteLine(i.ToString + " " + Data[i].ToString);
        End If;
    End For;
End Sub Print;

Sub UserProc;
Var
    HP: SmHodrickPrescottFilter;
    s: Array Of Double;
    res: Integer;
Begin
    s := New Double[15];
    // Set variable values
    s[00] := 670.2; s[08] := 1033.3;
    s[01] := 576.06; s[09] := 780.8;
    s[02] := 717.64; s[10] := 657.5;
    s[03] := 856.9; s[11] := 654.5;
    s[04] := 885.4; s[12] := 678.23;
    s[05] := 1011; s[13] := 642.41;
    s[06] := 995.44; s[14] := 751.9;
    s[07] := 1064.74;
    HP := New SmHodrickPrescottFilter.Create;
    HP.Serie.Value := s;
    // Set sample period
    HP.ModelPeriod.FirstPoint := 1;
    HP.ModelPeriod.LastPoint := 15;
    // Specify missing data treatment method
    HP.MissingData.Method := MissingDataMethod.SampleAverage;
    // Set  number of periods in the year
    HP.Frequency := 12;
    // Determine method of setting smoothing parameter
    HP.SmoothingParameterMode := HPSmoothingParameterModeType.SetByFrequencyRule;
    // Set power value
    HP.Power := 5;
    // Calculate the method  and output the results
    res := HP.Execute;
    If res <> 0 Then
        Debug.WriteLine(HP.Errors);
    Else
        Debug.WriteLine("Modeling series");
        Print(HP.Fitted);
    End If;
End Sub UserProc;

After executing the example the console window displays a modeling series. Calculations are based on monthly data, smoothing parameter is determined by power value.