47 lines
1.5 KiB
Matlab
47 lines
1.5 KiB
Matlab
function [hptrend,hpcycle] = sample_hp_filter(y,s)
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% HP filters a collection of time series.
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%
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% INPUTS
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% y [double] T*n matrix of data (n is the number of variables)
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% s [double] scalar, smoothing parameter.
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%
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% OUTPUTS
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% hptrend [double] T*n matrix, trend component of y.
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% hpcycle [double] T*n matrix, cycle component of y.
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%
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% SPECIAL REQUIREMENTS
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%
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% Copyright © 2010-2017 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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[T,~] = size(y);
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if nargin<2 || isempty(s)
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s = 1600;
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end
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D = spdiags(repmat([s, -4.0*s, (1 + 6.0*s), -4.0*s, s], T, 1), -2:2, T, T);% Sparse matrix.
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D(1,1) = 1.0+s; D(T,T) = D(1,1);
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D(1,2) = -2.0*s; D(2,1) = D(1,2); D(T-1,T) = D(1,2); D(T,T-1) = D(1,2);
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D(2,2) = 1.0+5.0*s; D(T-1,T-1) = D(2,2);
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hptrend = D\y;
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if nargout>1
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hpcycle = y-hptrend;
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end |