FRAPO (version 0.4-2)

trdhp: Hodrick-Prescott Filter

Description

Calculation of the Hodrick-Prescott filter as a technical trading indicator.

Usage

trdhp(y, lambda)

Value

An object of the same class as y, containing the computed Hodrick-Prescott values.

Arguments

y

Objects of classes: numeric, matrix, data.frame, ts, mts, and timeSeries are supported.

lambda

Numeric, the value for \(\lambda\) in the equation below.

Methods

y = "data.frame"

The calculation is applied per column of the data.frame and only if all columns are numeric.

y = "matrix"

The calculation is applied per column of the matrix.

y = "mts"

The calculation is applied per column of the mts object. The attributes are preserved and an object of the same class is returned.

y = "numeric"

Calculation of the bilson trend.

y = "timeSeries"

The calculation is applied per column of the timeSeries object and an object of the same class is returned.

y = "ts"

Calculation of the bilson trend. The attributes are preserved and an object of the same class is returned.

y = "xts"

Calculation of the bilson trend. The attributes are preserved and an object of the same class is returned.

y = "zoo"

Calculation of the bilson trend. The attributes are preserved and an object of the same class is returned.

Author

Bernhard Pfaff

Details

The Hodrick-Prescott filter is calculated according to the formula: $$ \min (\tau_t) = \sum_{t = 1}^T (y_t - \tau_t)^2 + \lambda \sum_{t = 2}^{T-1} (\Delta^2 \tau_{t+1})^2 $$

References

Hodrick, R. and E.C. Prescott (1997), Postwar U.S. Business Cycles: An Empirical Investigation, Journal of Money, Credit and Banking 29(1).

See Also

trdbinary, trdes, trdbilson, trdsma, trdwma, capser

Examples

data(StockIndex)
y <- StockIndex[, "SP500"]
hp <- trdhp(y, lambda = 1600)
head(hp)