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hpfilter
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
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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 29 Oct. 2026.
Previous versions and publish date:
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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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