Hodrick-Prescott Filter with Jumps
Automatic selection of the optimal HP filter with jumps and fixed smoo...
Automatic selection of the optimal HP filter with jumps
Automatic selection of the optimal HP filter with jumps and regressors
BIC method for the class hpj
Internal function for computing scores w/r to regression coefficients
Seasonal dummy variables
HP filter with automatic jumps detection and fixed smoothing constant
HP filter with automatic jumps detection.
HP filter with jumps and regressors (still experimental)
Hodrick-Prescott filter with jumps
Hodrick-Prescott Filter with Jumps
Kalman filtering and smoothing for local linear trend plus noise
logLik method for the class hpj
Mean squared error
nobs method for the class hpj
Plot method for the class hpj
Print method for the class hpj
Trigonometric seasonal variables
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.