>> jakub.ryšánek(‘homepage’)
  Curriculum Vitae (as of 12/2012)
Some econometrics:
  Hodrick-Prescott filter
(intro + online application)
for vector autoregressions
(supplement to my Master’s
thesis, in Czech only)

Valid XHTML 1.0 Transitional

Hodrick-Prescott Filter

Two figures below provide a practical illustration of the HP algorithm as described previously. As an input, I use quarterly data for Czech GDP in constant prices.

Used data: data.txt

Original data (yt) and filtered trend (taut):

The output gap computed as a percentage deviation from the filtered trend: