The HPFILT15.lng Model

Hodrick-Prescott Stochastic Trend

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Given a series of observations, we want to derive a sequence of smoothed "forecasts" for which the trend from period to period does not vary too much but which also approximates the original data.

Keywords:

Forecasting | Time Series | Hodrick-Prescott filtering | Smoothing | Filtering | Trend Forecasting | Business Cycle Forecasting |