hpfilter

Provides two functions that implement the one-sided and two-sided versions of the Hodrick-Prescott filter. The one-sided version is a Kalman filter-based implementation, whereas the two-sided version uses sparse matrices for improved efficiency. References: Hodrick, R. J., and Prescott, E. C. (1997) doi:10.2307/2953682 McElroy, T. (2008) doi:10.1111/j.1368-423X.2008.00230.x Meyer-Gohde, A. (2010) https://ideas.repec.org/c/dge/qmrbcd/181.html For more references, see the vignette.

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