Trend Removal Using the Hodrick-Prescott Filter
/*--------------------------------------------------------------
SAS Sample Library
Name: ucmex05.sas
Description: Example program from SAS/ETS User's Guide,
The UCM Procedure
Title: Trend Removal Using the Hodrick-Prescott Filter
Product: SAS/ETS Software
Keys: equally spaced univariate time series data
PROC: UCM
Notes:
--------------------------------------------------------------*/
ods graphics on;
proc ucm data=sashelp.gnp;
id date interval=qtr;
model gnp;
irregular plot=smooth;
level var=0 noest plot=smooth;
slope var=0.000625 noest;
estimate PROFILE;
forecast plot=(decomp);
run;