The hpfilter package | The Hodrick-Prescott Filter | Short mathematical overview | References | Functions | hp1 - the one-sided HP Filter | hp2 - the Two-Sided HP Filter | Examples | Studying the GDP cycle with a two-sided HP filter | Synthetic data example for the one-sided HP filter | About the author
Package: hpfilter 1.0.2
Alexandru Monahov
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.
Authors:
hpfilter_1.0.2.tar.gz
hpfilter_1.0.2.tar.gz(r-4.7-any)hpfilter_1.0.2.tar.gz(r-4.6-any)
hpfilter_1.0.2.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
hpfilter/json (API)
| # Install 'hpfilter' in R: |
| install.packages('hpfilter', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Datasets:
- GDPEU - Real Gross Domestic Product for European Union
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated from:cc0e32da51. Checks:4 OK. Indexed: yes.
