[SciPy-user] Hodrick-Prescott filter

Alan G Isaac aisaac@american....
Tue Oct 2 08:37:41 CDT 2007


On Mon, 1 Oct 2007, Alan G Isaac apparently wrote:
> I'm looking for a Hodrick-Prescott filter. 
> http://en.wikipedia.org/wiki/Hodrick-Prescott_filter#External_links 
> Is there one in SciPy, or can someone post one? 


Well, nobody replied to this yet, so here is a really basic
implementation: ``hpfilter`` in
http://econpy.googlecode.com/svn/trunk/pytrix/tseries.py
Suggestions welcome.

Cheers,
Alan Isaac





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