hpfilter

cranv1.0.2

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

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https://CRAN.R-project.org/package=hpfilter
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First published · 2023-05-28 17:51:17

Last updated · 2023-05-28T15:40:02+00:00