hpfilter: The One- And Two-Sided Hodrick-Prescott Filter

Provides two functions that implement the one-sided and two-sided versions of the Hodrick-Prescott filter. The one-sided version is a Kalman filter-based implementation, whereas the two- sided version uses sparse matrices for improved efficiency. References: Hodrick, R. J., and Prescott, E. C. (1997) <doi:10.2307/2953682> Mcelroy, T. (2008) <doi:10.1111/j.1368-423X.2008.00230.x> Meyer-Gohde, A. (2010) <https://ideas.repec.org/c/dge/qmrbcd/181.html> For more references, see the vignette.

Version:	1.0.2
Depends:	R (≥ 3.5.0)
Imports:	Matrix
Suggests:	knitr, rmarkdown
Published:	2023-05-28
DOI:	10.32614/CRAN.package.hpfilter
Author:	Alexandru Monahov
Maintainer:	Alexandru Monahov <alexandru.monahov at proton.me>
License:	CC BY-SA 4.0
URL:	https://www.alexandrumonahov.eu.org/projects
NeedsCompilation:	no
Materials:	README NEWS
In views:	TimeSeries
CRAN checks:	hpfilter results

Documentation:

Reference manual:	hpfilter.pdf
Vignettes:	hpfilter: An R Implementation of the One- and Two-Sided Hodrick-Prescott Filter

Downloads:

Package source:	hpfilter_1.0.2.tar.gz
Windows binaries:	r-devel: hpfilter_1.0.2.zip, r-release: hpfilter_1.0.2.zip, r-oldrel: hpfilter_1.0.2.zip
macOS binaries:	r-release (arm64): hpfilter_1.0.2.tgz, r-oldrel (arm64): hpfilter_1.0.2.tgz, r-release (x86_64): hpfilter_1.0.2.tgz, r-oldrel (x86_64): hpfilter_1.0.2.tgz
Old sources:	hpfilter archive

Linking:

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