hpfilter
The One- And Two-Sided Hodrick-Prescott Filter
v1.0.2
·
May 28, 2023
·
CC BY-SA 4.0
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) <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.
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| r-devel-linux-x86_64-debian-gcc | NOTE |
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| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
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NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
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r-devel-linux-x86_64-debian-clang
CRAN incoming feasibility
Maintainer: ‘Alexandru Monahov <alexandru.monahov@proton.me>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = "Alexandru",
family = "Monahov",
role = c("aut", "cre"),
email = "alexandru.monahov@proton.me")
as necessary.
NOTE
r-devel-linux-x86_64-debian-gcc
CRAN incoming feasibility
Maintainer: ‘Alexandru Monahov <alexandru.monahov@proton.me>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: person(given = "Alexandru",
family = "Monahov",
role = c("aut", "cre"),
email = "alexandru.monahov@proton.me")
as necessary.
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1.0.2
Mar 9, 2026