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:Alexandru Monahov

hpfilter_1.0.2.tar.gz
hpfilter_1.0.2.tar.gz(r-4.5-noble)hpfilter_1.0.2.tar.gz(r-4.4-noble)
hpfilter_1.0.2.tgz(r-4.4-emscripten)hpfilter_1.0.2.tgz(r-4.3-emscripten)
hpfilter.pdf |hpfilter.html✨
hpfilter/json (API)
NEWS

Peer review:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2 exports 1 stars 0.00 score 2 dependencies 21 scripts 409 downloads

Last updated 1 years agofrom:cc0e32da51. Checks:OK: 2. Indexed: yes.

Exports:hp1hp2

Dependencies:latticeMatrix