关于HP滤波法 怎么取得趋势成分和波动成分

HP滤波法只能做出来趋势图么？能求出数据么？怎么求？现在的我数据时按天来的,参数λ给定多少？趋势成分和波动成分怎么得到？我刚刚学滤波法 不太懂 求教了 谢谢

MATLAB中有hpfilter函数(或者在MATLAB的帮助文档内搜索Hodrick)


Syntax


hpfilter(S)
hpfilter(S,smoothing)
T = hpfilter(...)
[T,C] = hpfilter(...)

Description


hpfilter(S) uses a Hodrick-Prescott filter and a default smoothing parameter of 1600 to separate the columns of S into trend and cyclical components. S is an m-by-n matrix with m samples from n time series. A plot displays each time series together with its trend (the time series with the cyclic component removed).

hpfilter(S,smoothing) applies the smoothing parameter smoothing to the columns of S. If smoothing is a scalar, hpfilter applies it to all columns. If S has n columns and smoothing is a conformable vector (n-by-1 or 1-by-n), hpfilter applies the vector components of smoothing to the corresponding columns of S.

If the smoothing parameter is 0, no smoothing takes place. As the smoothing parameter increases in value, the smoothed series becomes more linear. A smoothing parameter of Inf produces a linear trend component.

Appropriate values of the smoothing parameter depend upon the periodicity of the data. The following reference suggests the following values:

Yearly — 100

Quarterly — 1600

Monthly — 14400

T = hpfilter(...) returns the trend components of the columns of S in T, without plotting.

[T,C] = hpfilter(...) returns the cyclical components of the columns of S in C, without plotting.

xuruilong100 发表于 2013-4-27 12:55
MATLAB中有hpfilter函数(或者在MATLAB的帮助文档内搜索Hodrick)

可是想用eviews matlab实在不怎么会用额 还是谢啦

想简单操作就用Eviews,复杂一点就用matlab处理。

jackps 发表于 2013-4-27 12:57
可是想用eviews matlab实在不怎么会用额 还是谢啦

只是调用一下函数而已, 没难度啊

fwushi815 发表于 2013-4-27 12:58
想简单操作就用Eviews,复杂一点就用matlab处理。

eviews改怎么操作哦  怎么才能取得数据额。。

xuruilong100 发表于 2013-4-27 13:00
只是调用一下函数而已, 没难度啊

还有个问题就是 我电脑上没有matlab 嘿嘿 今天下午就要用了  不太赶趟

顶一下

同闻，怎么得到周期成分与波动成分

xuruilong100 发表于 2013-4-27 13:00
只是调用一下函数而已, 没难度啊

所以具体是什么函数呢？