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matteopelagatti
jumps:Hodrick-Prescott Filter with Jumps
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.
Maintained by Matteo Pelagatti. Last updated 7 days ago.
4.95 score