1function [hptrend,hpcycle] = sample_hp_filter(y,s) 2% HP filters a collection of time series. 3% 4% INPUTS 5% y [double] T*n matrix of data (n is the number of variables) 6% s [double] scalar, smoothing parameter. 7% 8% OUTPUTS 9% hptrend [double] T*n matrix, trend component of y. 10% hpcycle [double] T*n matrix, cycle component of y. 11% 12% SPECIAL REQUIREMENTS 13% 14 15% Copyright (C) 2010-2017 Dynare Team 16% 17% This file is part of Dynare. 18% 19% Dynare is free software: you can redistribute it and/or modify 20% it under the terms of the GNU General Public License as published by 21% the Free Software Foundation, either version 3 of the License, or 22% (at your option) any later version. 23% 24% Dynare is distributed in the hope that it will be useful, 25% but WITHOUT ANY WARRANTY; without even the implied warranty of 26% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 27% GNU General Public License for more details. 28% 29% You should have received a copy of the GNU General Public License 30% along with Dynare. If not, see <http://www.gnu.org/licenses/>. 31 32[T,n] = size(y); 33 34if nargin<2 || isempty(s) 35 s = 1600; 36end 37 38D = spdiags(repmat([s, -4.0*s, (1 + 6.0*s), -4.0*s, s], T, 1), -2:2, T, T);% Sparse matrix. 39D(1,1) = 1.0+s; D(T,T) = D(1,1); 40D(1,2) = -2.0*s; D(2,1) = D(1,2); D(T-1,T) = D(1,2); D(T,T-1) = D(1,2); 41D(2,2) = 1.0+5.0*s; D(T-1,T-1) = D(2,2); 42 43hptrend = D\y; 44 45if nargout>1 46 hpcycle = y-hptrend; 47end