Package: neverhpfilter 0.4-2

neverhpfilter: An Alternative to the Hodrick-Prescott Filter

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

Authors:Justin M. Shea [aut, cre]

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neverhpfilter.pdf |neverhpfilter.html✨
neverhpfilter/json (API)
NEWS

# Install 'neverhpfilter' in R:
install.packages('neverhpfilter', repos = c('https://justinmshea.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/justinmshea/neverhpfilter/issues

Datasets:
  • EXPGSC1 - Real Exports of Goods and Services
  • FEDFUNDS - Effective Federal Funds Rate
  • GCEC1 - Real Government Consumption Expenditures and Gross Investment
  • GDPC1 - Gross Domestic Product
  • GDPDEF - Gross Domestic Product: Implicit Price Deflator
  • GPDIC1 - Real Gross Private Domestic Investment
  • GS10 - 10-Year Treasury Constant Maturity Rate
  • Hamilton_table_2 - Hamilton_table_2
  • IMPGSC1 - Real imports of goods and services
  • PAYEMS - Employment Situation
  • PCECC96 - Real Personal Consumption Expenditures
  • SP500 - U.S. Stock Markets and CAPE Ratio
  • UNRATENSA - Civilian Unemployment Rate
  • USREC - Recession Indicators Series

On CRAN:

hamiltonhp-filtertime-series

5.94 score 15 stars 58 scripts 261 downloads 2 exports 3 dependencies

Last updated 2 years agofrom:49c2274328. Checks:OK: 3 NOTE: 4. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 30 2024
R-4.5-winNOTEOct 30 2024
R-4.5-linuxNOTEOct 30 2024
R-4.4-winNOTEOct 30 2024
R-4.4-macNOTEOct 30 2024
R-4.3-winOKOct 30 2024
R-4.3-macOKOct 30 2024

Exports:yth_filteryth_glm

Dependencies:latticextszoo

Getting started

Rendered fromGetting-started.mdusingsimplermarkdown::mdweave_to_htmlon Oct 30 2024.

Last update: 2022-12-10
Started: 2022-12-10

Reproducing Hamilton

Rendered fromReproducing-Hamilton.mdusingsimplermarkdown::mdweave_to_htmlon Oct 30 2024.

Last update: 2022-12-10
Started: 2022-12-10