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