基层工作者求助人大统计学子：HP滤波法的具体用法

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<P>我是一名基层统计工作者，很想用HP滤波法测算一下本地区的GDP“十一五”期间增长情况。</P>
<P>请问：谁能帮忙？</P>

<P>谢谢！</P>

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关键词：HP滤波法 人大统计学 HP滤波 基层工作 统计学 工作者 统计

去google一下，网上有弄好了的stata程序。你要的是增长情况，保留的应该是增长因素。

不过没有季度数据，lamda的设定在非季度数据下有争议，查查经济周期的测量这方面的论文吧，减掉周期就是增长了。

这个帖子不如发到宏观里面去。搞计量的就知道搞单位根，搞协整。不是一个路子。

谢谢你的帮助，我去试试吧。

我已经又去宏观的部分看了，谢谢你！

以下是引用猪人在2007-5-28 12:20:00的发言：
这个帖子不如发到宏观里面去。搞计量的就知道搞单位根，搞协整。不是一个路子。

呵呵，无语呀

The Hodrick-Prescott filter is a mathematical tool used in macroeconomics, especially in real business cycle theory. It is used to obtain a smoothed non-linear representation of a time series, one that is more sensitive to long-term than to short-term fluctuations. The adjustment of the sensitivity of the trend to short-term fluctuations is achieved by modifying a multiplier λ.

The formula

The reasoning for the formula is as follows: Let for denote the logarithms of a time series variable. Given an adequately chosen, positive value of λ, there is a "trend component", denoted by , that minimizes

min

The first term of the equation is the sum of the squared deviations d_t = y_t − τ_t. The second term is a multiple λ of the sum of the squares of the trend component's second differences. This second term penalizes variations in the growth rate of the trend component. The larger the value of λ, the higher is the penalty. Hodrick and Prescott advise that, for quarterly data, a value of λ = 1600 is reasonable.

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a freeware Hodrick Prescott Excel Add-IN

http://www.web-reg.de/hp_addin.html

安装EVIEWS5.0

打开某个数据序列,点这proc/hp就可以了,得到的序列是平滑的序列,把原来数据减去这个就是波动值了.

8楼能详细解释一下吗

能详细解释一下吗