Package: MacroFilters 0.2.1

Michal Kinel

MacroFilters: Robust Trend-Cycle Decomposition for Macroeconomic Time Series

Provides high-performance tools for macroeconomic trend extraction and filtering, specifically designed to solve the end-point problem in real-time. Implements the MacroBoost Hybrid (MBH) filter using penalized P-splines and gradient boosting. Unlike the standard Hodrick-Prescott filter, 'MacroFilters' utilizes component-wise L2-boosting with robust loss functions (Huber) to handle extreme transient shocks (e.g., COVID-19) without inducing spurious trend shifts. The algorithm includes an automated two-layer diagnostic stage for unit roots and structural breaks, optimized via corrected AICc for computational efficiency. Methodology detailed in Kinel (2026) <doi:10.2139/ssrn.6371138>.

Authors:Michal Kinel [aut, cre]

MacroFilters_0.2.1.tar.gz
MacroFilters_0.2.1.tar.gz(r-4.7-any)MacroFilters_0.2.1.tar.gz(r-4.6-any)
MacroFilters_0.2.1.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
MacroFilters/json (API)
NEWS

# Install 'MacroFilters' in R:
install.packages('MacroFilters', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/michal0091/macrofilters/issues

Pkgdown/docs site:https://michal0091.github.io

Datasets:

On CRAN:

Conda:

3.60 score 8 scripts 325 downloads 5 exports 38 dependencies

Last updated from:5acb5e5aa3. Checks:4 OK. Indexed: no.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK142
source / vignettesOK250
linux-release-x86_64OK165
wasm-releaseOK118

Exports:autoplotbhp_filterhamilton_filterhp_filtermbh_filter

Dependencies:clicpp11curldata.tablefarverFormulaggplot2gluegtableinumisobandjsonlitelabelinglatticelibcoinlifecycleMatrixmboostmvtnormnnlspartykitquadprogquantmodR6RColorBrewerrlangrpartS7scalesstabssurvivaltseriesTTRvctrsviridisLitewithrxtszoo

Hyperparameter Tuning for the MacroBoost Hybrid Filter

Rendered fromtuning_mbh.Rmdusingknitr::rmarkdownon Jun 11 2026.

Last update: 2026-06-11
Started: 2026-05-27

Introduction to MacroFilters

Rendered fromintroduction.Rmdusingknitr::rmarkdownon Jun 11 2026.

Last update: 2026-06-11
Started: 2026-05-27

Solving the End-Point Problem in Real-Time

Rendered fromreal_time_revisions.Rmdusingknitr::rmarkdownon Jun 11 2026.

Last update: 2026-06-11
Started: 2026-05-27

Uncertainty Bands via Block Bootstrap

Rendered fromuncertainty_bands.Rmdusingknitr::rmarkdownon Jun 11 2026.

Last update: 2026-06-11
Started: 2026-06-11