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jumps: Hodrick-Prescott Filter with Jumps
A set of functions to compute the Hodrick-Prescott (HP) filter with automatically selected jumps. The original HP filter extracts a smooth trend from a time series, and our version allows for a small number of automatically identified jumps. See Maranzano and Pelagatti (2024) <doi:10.2139/ssrn.4896170> for details.
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Package details |
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| Author | Matteo Pelagatti [aut, cre, cph] (<https://orcid.org/0000-0002-1860-7535>), Paolo Maranzano [aut, cph] (<https://orcid.org/0000-0002-9228-2759>) |
| Maintainer | Matteo Pelagatti <matteo.pelagatti@unimib.it> |
| License | GPL-3 |
| Version | 1.0 |
| Package repository | View on CRAN |
| Installation |
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