neverhpfilter: A Better Alternative to the Hodrick-Prescott Filter

In the working paper titled "Why You Should Never Use the Hodrick-Prescott Filter", James D. Hamilton proposes an interesting new alternative to economic time series filtering. The neverhpfilter package provides functions for implementing his solution. Hamilton (2017) <doi:10.3386/w23429>.

Package details

AuthorJustin M. Shea [aut, cre]
MaintainerJustin M. Shea <[email protected]>
Package repositoryView on CRAN
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neverhpfilter documentation built on Jan. 24, 2018, 6:17 p.m.