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HPFilter.xla
Donate it
The Hodrick Prescott add-in is the signature product of my web site. Renown multi national banks and investment
banks are using this add-in. I bear the costs for computer, web-site, software and my free time. To keep it a free
software, you can donate it.
Click Here To Donate
Installation
Download the add-in from the internet (www.web-reg.de). Extract the zip-file and declare HPFilter.xla as an add-in
(Tools->Add-Ins Manager ->Browse).
Uses
The HP-Filter is a single command function,
HP(timeseries as Range,lambda as Double)
Timeseries is a vector or matrix of time series. The data have to be organized columnwise.
The "standard-values" for Lambda are 100 for yearly data, 1600 for quarterly data and 14400 for monthly data.
HP is an array-function. First select an empty range which is of the same dimension as the timeseries that should be
filtered. Then write =HP(, then select the range that should be filtered, write a comma (or semicolon, depends on your
language settings in Windows) and then the value of lambda and a closing brace. At this point, do not press Enter.
Rather, hold down the Shift and the Ctrl Keys and then press Enter.
This Add-In uses a very fast algorithm. Filtering lot of data points does not take long time.
Examples are in this worksheet. Note that the results computed only if the Add-In ist installed
Further Notes
The HP-Filter Add-In was written by Kurt Annen. This program is freeware. But I would highly appreciate if you could
give me credit for my work by providing me with information about possible open positions as an economist. My focus
as an economist is on econometrics and dynamic macroeconomics. If you like the program, please send me an email.
annen@web-reg.de
Year GNP HP Trend HP Cycle
1960 856.48 Err:511 Err:511
1961 895.19 Err:511 Err:511 2200
1962 936.28 Err:511 Err:511
1963 962.24 Err:511 Err:511
1964 1026.34 Err:511 Err:511 2000
1965 1081.45 Err:511 Err:511
1966 1111.96 Err:511 Err:511
1800
1967 1108.75 Err:511 Err:511
1968 1169.99 Err:511 Err:511
1969 1257.09 Err:511 Err:511 1600
1970 1321.4 Err:511 Err:511
1971 1361.16 Err:511 Err:511
1972 1419.12 Err:511 Err:511 1400
1973 1488.19 Err:511 Err:511
1974 1492.08 Err:511 Err:511 1200
1975 1471.22 Err:511 Err:511
1976 1549.8 Err:511 Err:511
1977 1593.91 Err:511 Err:511 1000
1978 1641.64 Err:511 Err:511
1979 1709.17 Err:511 Err:511
1980 1727.51 Err:511 Err:511 800
1981 1730.52 Err:511 Err:511 1958 1963 1968 1973 1978
1982 1714.14 Err:511 Err:511
1983 1740.9 Err:511 Err:511
1984 1789.35 Err:511 Err:511 70
1985 1823.18 Err:511 Err:511
1986 1863.77 Err:511 Err:511
1987 1890.28 Err:511 Err:511 60
1988 1960.51 Err:511 Err:511
1989 2024.16 Err:511 Err:511
50
1990 2118.42 Err:511 Err:511
1991 2191.05 Err:511 Err:511
40
30
20
10
0
1958 1963 1968 1973 1978
1973 1978 1983 1988 1993