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: 1.0.1
Depends: R (≥ 3.5.0)
Imports: Matrix
Suggests: knitr, rmarkdown
Published: 2023-02-26
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.pdf
Vignettes: hpfilter: An R Implementation of the One- and Two-Sided Hodrick-Prescott Filter


Package source: hpfilter_1.0.1.tar.gz
Windows binaries: r-devel: hpfilter_1.0.1.zip, r-release: hpfilter_1.0.1.zip, r-oldrel: hpfilter_1.0.1.zip
macOS binaries: r-release (arm64): hpfilter_1.0.1.tgz, r-oldrel (arm64): hpfilter_1.0.1.tgz, r-release (x86_64): hpfilter_1.0.1.tgz, r-oldrel (x86_64): hpfilter_1.0.1.tgz
Old sources: hpfilter archive


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