jumps-package {jumps}R Documentation

Hodrick-Prescott Filter with Jumps

Description

Extraction of a smooth trend with automatically selected jumps.

Details

This package implements a version of the HP filter and of smoothing splines that allow discontinuities (jumps). The jumps are automatically selected using a LASSO-like regularization and the optimal regularization constant can be found providing a grid of alternatives and using information criteria. The user can also add regressors such as deterministic seasonal components.

Author(s)

Matteo Pelagatti, Paolo Maranzano.

Maintainer: Matteo Pelagatti <matteo.pelagatti@unimib.it>, Paolo Maranzano <paolo.maranzano@unimib.it>

References

Maranzano and Pelagatti (2024) A Hodrick-Prescott filter with automatically selected jumps.


[Package jumps version 1.0 Index]