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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.2 |
rolling source/ R- | hpfilter_1.0.2.tar.gz |
115.7 KiB |
1.0.2 |
rolling linux/jammy R-4.5 | hpfilter_1.0.2.tar.gz |
131.6 KiB |
1.0.2 |
rolling linux/noble R-4.5 | hpfilter_1.0.2.tar.gz |
131.4 KiB |
1.0.2 |
latest source/ R- | hpfilter_1.0.2.tar.gz |
115.7 KiB |
1.0.2 |
latest linux/jammy R-4.5 | hpfilter_1.0.2.tar.gz |
131.6 KiB |
1.0.2 |
latest linux/noble R-4.5 | hpfilter_1.0.2.tar.gz |
131.4 KiB |
1.0.2 |
2026-04-23 source/ R- | hpfilter_1.0.2.tar.gz |
115.7 KiB |
1.0.2 |
2026-04-09 windows/windows R-4.5 | hpfilter_1.0.2.zip |
135.4 KiB |
1.0.2 |
2025-04-20 source/ R- | hpfilter_1.0.2.tar.gz |
115.7 KiB |