Search found 1 match
- Fri Nov 13, 2009 7:57 am
- Forum: Econometric Discussions
- Topic: Hodrick-Prescott (HP-filter) as an endogenous entity
- Replies: 6
- Views: 14771
Hodrick-Prescott (HP-filter) as an endogenous entity
Hi, The issue is that i would like to define the HP-filtered time series as an endogenous entity in the model environment. Say, I have a series y. Then I could calculate y.hpf(lambda=1600) yhp. However, this procedure is only valid outside the model environment. An alternative way would be to employ...