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hpcycle.m 1.35 KiB
function o = hpcycle(o, lambda)
% Extracts the cycle component from a dseries object using Hodrick Prescott filter.
%
% INPUTS
% - o [dseries] Original time series.
% - lambda [double] scalar, trend smoothness parameter.
%
% OUTPUTS
% - o [dseries] Cyclical component of the original time series.
% Copyright © 2013-2023 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
if nargin>1
if lambda<=0
error('dseries::hpcycle: Lambda must be a positive integer!')
end
else
lambda = [];
end
o = copy(o);
o.hpcycle_(lambda);
return % --*-- Unit tests --*--
%@test:1
d = randn(100,1);
o = dseries(d);
try
p = o.hpcycle();
t(1) = 1;
catch
t(1) = 0;
end
if t(1)
t(2) = dassert(o.data,d);
end
T = all(t);
%@eof:1