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 |
| Reference manual: | hpfilter.html , hpfilter.pdf |
| Vignettes: |
hpfilter: An R Implementation of the One- and Two-Sided Hodrick-Prescott Filter (source, R code) |
| 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 |
Please use the canonical form https://CRAN.R-project.org/package=hpfilter to link to this page.