L1FILTER
Posted: Fri Nov 04, 2016 12:53 am
This thread is about l1filter add-in.
The add-in allows you to extract a piecewise linear trend by primal-dual interior point method proposed by Kim et al. (2009). It is an alternative trend estimation method to well-known Hodrick-Prescott filter, but can also be used in determining the break (kink) points in a time series. For further instructions, please see the documentation that comes with the add-in and the EViews' blog post.
The add-in allows you to extract a piecewise linear trend by primal-dual interior point method proposed by Kim et al. (2009). It is an alternative trend estimation method to well-known Hodrick-Prescott filter, but can also be used in determining the break (kink) points in a time series. For further instructions, please see the documentation that comes with the add-in and the EViews' blog post.