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hpfilter  

The One- And Two-Sided Hodrick-Prescott Filter
View on CRAN: Click here


Download and install hpfilter package within the R console
Install from CRAN:
install.packages("hpfilter")

Install from Github:
library("remotes")
install_github("cran/hpfilter")

Install by package version:
library("remotes")
install_version("hpfilter", "1.0.2")



Attach the package and use:
library("hpfilter")
Maintained by
Alexandru Monahov
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2023-02-24
Latest Update: 2023-05-28
Description:
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) Mcelroy, T. (2008) Meyer-Gohde, A. (2010) For more references, see the vignette.
How to cite:
Alexandru Monahov (2023). hpfilter: The One- And Two-Sided Hodrick-Prescott Filter. R package version 1.0.2, https://cran.r-project.org/web/packages/hpfilter. Accessed 06 Jan. 2025.
Previous versions and publish date:
1.0.0 (2023-02-24 11:50), 1.0.1 (2023-02-26 02:12)
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Other R packages that hpfilter depends, imports, suggests or enhances
Complete documentation for hpfilter
Functions, R codes and Examples using the hpfilter R package
Some associated functions: GDPEU . hp1 . hp2 . hpfilter-package . 
Some associated R codes: GDPEU.R . hp1.R . hp2.R . hpfilter-package.R .  Full hpfilter package functions and examples
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