In Eviews you can automatically HP filter any time series. The following plot is from the
QUARTERLY.wf1 file and show real GDP for the US.
The trend in the series suggests that there is a temporary and a permanent component to
the time series.
Next, click on PROC and choose HP filter as shown below.
Choose the HP filter button and the following window will appear.
You can choose to rename the series and if you provide a series name for the “cycle”
series (i.e., the temporary component) then Eviews will save this series as well. The
default lambda for quarterly data is 1600. Higher values will smooth the series even more
while lower values will make for a smaller cycle component as the HP filter will fit the
data more closely.
Choosing the default values one obtains the result shown below.
The trend and cyclical components are clearly visible.