Package: neverhpfilter 0.5-0

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]

neverhpfilter_0.5-0.tar.gz
neverhpfilter_0.5-0.zip(r-4.7)neverhpfilter_0.5-0.zip(r-4.6)neverhpfilter_0.5-0.zip(r-4.5)
neverhpfilter_0.5-0.tgz(r-4.6-any)neverhpfilter_0.5-0.tgz(r-4.5-any)
neverhpfilter_0.5-0.tar.gz(r-4.7-any)neverhpfilter_0.5-0.tar.gz(r-4.6-any)
neverhpfilter_0.5-0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
neverhpfilter/json (API)

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

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

Pkgdown/docs site:https://justinmshea.github.io

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:

Conda:

hamiltonhp-filtertime-series

6.18 score 21 stars 72 scripts 361 downloads 2 exports 3 dependencies

Last updated from:58ac0bdd1f. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK106
source / vignettesOK154
linux-release-x86_64OK98
macos-release-arm64OK82
macos-oldrel-arm64OK72
windows-develOK68
windows-releaseOK64
windows-oldrelOK69
wasm-releaseOK87

Exports:yth_filteryth_glm

Dependencies:latticextszoo

Getting started
Introduction | yth_glm | yth_filtered | Choices for h and p | Conclusion
Rendered fromGetting-started.Rmdusingsimplermarkdown::mdweave_to_html

Last update: 2025-08-21
Started: 2020-02-08

Reproducing Hamilton
Implementation | Comparing our estimates with Hamilton's | Summary
Rendered fromReproducing-Hamilton.Rmdusingsimplermarkdown::mdweave_to_html

Last update: 2025-08-21
Started: 2017-12-24