The mFilter package by Mehmet Balcilar implements several time series filters useful for smoothing and extracting trend and cyclical components of a time series.
The routines are commonly used in economics and finance, however they should also be interest to other areas.
Currently implemented time series filters are:
- Christiano-Fitzgerald
- Baxter-King
- Hodrick-Prescott
- Butterworth
- trigonometric regression filters
The R package is available on CRAN and GitHub.
Balcilar M (2019). mFilter: Miscellaneous Time Series Filters. R package version 0.1-5, https://CRAN.R-project.org/package=mFilter.
Mendez C. (2020). Long Run vs Short Run Decompositions in R: The HP filter vs the Hamilton filter. R Studio/RPubs. Available at https://rpubs.com/quarcs-lab/long-run-filters.