HP filter - storing the cycle component

For questions regarding the import, export and manipulation of data in EViews, including graphing and basic statistics.

Moderators: EViews Gareth, EViews Steve, EViews Jason, EViews Moderator, EViews Pamela

javiersan
Posts: 177
Joined: Mon Jan 19, 2009 8:18 am

HP filter - storing the cycle component

Postby javiersan » Thu Feb 19, 2009 10:18 am

Hi,

The menu-based HP filter option allows for storing the cycle and filtered component. I cannot find on the help how to store the cycle component via the program command (i.e. gdp.hpf(lambda=1600) gdp_hp will only store the trend). Could you please help me with this?

I tried to replicate the stored cycle series by applying a formula like: cycle = series / trend - 1 or cycle=(series - trend) / series, where series is the original time series data and trend is the hp-filtered series. I get nothing similar to the cycle calculated by EViews. Where am I going wrong?

Thanks,

Javier

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11733
Joined: Tue Sep 16, 2008 5:38 pm

Re: HP filter - storing the cycle component

Postby EViews Gareth » Thu Feb 19, 2009 10:28 am

I don't believe it is possible to store the cycle series via command.
Follow us on Twitter @IHSEViews

startz
Non-normality and collinearity are NOT problems!
Posts: 3299
Joined: Wed Sep 17, 2008 2:25 pm

Re: HP filter - storing the cycle component

Postby startz » Thu Feb 19, 2009 12:00 pm

javiersan wrote:Hi,

The menu-based HP filter option allows for storing the cycle and filtered component. I cannot find on the help how to store the cycle component via the program command (i.e. gdp.hpf(lambda=1600) gdp_hp will only store the trend). Could you please help me with this?

I tried to replicate the stored cycle series by applying a formula like: cycle = series / trend - 1 or cycle=(series - trend) / series, where series is the original time series data and trend is the hp-filtered series. I get nothing similar to the cycle calculated by EViews. Where am I going wrong?

Thanks,

Javier

Try

Code: Select all

gdp.hpf(lambda=1600) gdp_hp
series gdp_c = gdp - gdp_hp

javiersan
Posts: 177
Joined: Mon Jan 19, 2009 8:18 am

Re: HP filter - storing the cycle component

Postby javiersan » Thu Feb 19, 2009 3:33 pm

Oh! that was easy!

Thanks.

flourence
Posts: 5
Joined: Sat Oct 21, 2017 3:56 am

Re: HP filter - storing the cycle component

Postby flourence » Tue Nov 28, 2017 10:36 pm

Can i use hodrick prescott to show if the series has a trend or none ?


Return to “Data Manipulation”

Who is online

Users browsing this forum: No registered users and 5 guests