Hodrick-Prescott filter with smoothing factor as parameter

Hi i'm trying to parametrize Hodrick-Prescott filter (HP) as a function of smoothing parameter. Simple xy plot with the smoothing factor as parameter. I post my code below

excel=readmatrix("COMEX_SIZ2024, 1D_1f4e1.csv");

price=excel(:,6);

lambda=500:500:5500;

>> for pp=1:length(lambda)

[Trend(length(price),pp),Cyclical(length(price),pp)]=hpfilter(price,Smoothing=lambda(pp));

end

ERROR: Unable to perform assignment because the indices on the left side are not compatible with the size of the right side.

I'm using a for loop to impile the lambda on columns and calculation (x=price) on rows. However it doesnt seem to work.

Where is my error? Thanks

Answer 1

[Milan Bansal]

Hi Giacomo

I understand that you are facing an error while trying to parametrize the Hodrick-Prescott filter with different smoothing parameters.

The error occurs because the hpfilter function returns a vector, not a single value, and you're trying to assign this vector to a single element of Trend and Cyclical.

Here's how you can fix the issue:

• Preallocate Trend and Cyclical matrices with the correct dimensions to store the entire output vectors for each smoothing parameter.
• Ensure the loop assigns the entire vector output to the appropriate columns.

Here's a revised version of your code:

excel = readmatrix("COMEX_SIZ2024, 1D_1f4e1.csv");
price = excel(:,6);
lambda = 500:500:5500;
Trend = zeros(length(price), length(lambda));
Cyclical = zeros(length(price), length(lambda));

for pp = 1:length(lambda)
    [Trend(:, pp), Cyclical(:, pp)] = hpfilter(price, 'Smoothing', lambda(pp));
end

Please refer to the following documentation link to learn more about Hodrick-Prescott filter in MATLAB.

https://www.mathworks.com/help/econ/hpfilter.html

Hope this helps!

[Giacomo]

Thank you Milan. You are really helpfull.

Hope you the best and be safe.