mFilter: Miscellaneous time series filters

The package implements several time series filters useful for smoothing and extracting trend and cyclical components of a time series. The routines are commonly used in economics and finance, however they should also be interest to other areas. Currently, Christiano-Fitzgerald, Baxter-King, Hodrick-Prescott, Butterworth, and trigonometric regression filters are included in the package.

AuthorMehmet Balcilar <mbalcilar@yahoo.com>
Date of publication2007-11-06 10:00:46
MaintainerMehmet Balcilar <mbalcilar@yahoo.com>
LicenseGPL (>= 2)
Version0.1-3
http://www.mbalcilar.net/mFilter
http://www.r-project.org

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