In saviviro/tsfilters: Various Time Series Filters

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tsfilters

The goal of tsfilters is to provide various time series filters.

Installation

You can install the released version of tsfilters from GitHub with:

# install.packages("devtools")
devtools::install_github("saviviro/tsfilters")

Example

Separate trend and cyclical component of univariate time series using the method proposed by Hamilton (2018, doi:10.1162/rest_a_00706).

library(tsfilters)
data(INDPRO, package="tsfilters")

## Hamilton (2018) filter:
IP_filtered <- hfilter(log(INDPRO), h=24, p=12)
IP_filtered
plot(IP_filtered)

## The first difference of logarithmized series:
IP_logdiff <- logdiff(INDPRO)
plot(IP_logdiff)

## HP filter:

# Log of quarterly industrial production index
IPQ <- log(colMeans(matrix(INDPRO, nrow=3)))
IPQ <- ts(IPQ, start=start(INDPRO), frequency=4)

# One-sided
IPQ_hp <- hpfilter(IPQ, lambda=1600, type="one-sided")
plot(IPQ_hp)
IPQ_hp

# Two-sided
IPQ_hp2 <- hpfilter(IPQ, lambda=1600, type="two-sided")
plot(IPQ_hp2)
IPQ_hp2