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.
Hope this helps!
