How to run the Hodrick Prescott test with solver?

[Guest]

We are trying to estimate the equilibrium values of the data series. In
short, we want to run a Hodrick Prescott test. Which involves a complex
equqtion to be minimized.

 

[Tushar Mehta]

If you can put something in an Excel format that satisfies the rules
imposed by Solver, it can be minimized by Solver.

That said...

Searched google lately?

I found at least two references showing how Hodrick Prescott can be
solved algebraically.

http://www.google.com/search?q=Hodrick+Prescott

http://econ.ohio-state.edu/hwkim/hpfilter.pdf

and

http://docserver.ingentaselect.com/deliver/cw/mitpress/10811826/v4n1/s1
/p1.pdf?fmt=dirpdf&tt=942&cl=70&ini=&bini=&wis=&ac=0&acs=&expires=
1105447491&checksum=862093F528A28C40A07B2A37BE9B7CA3&cookie=261772208

--
Regards,

Tushar Mehta
www.tushar-mehta.com
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