BIC.hpj

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.

Matteo Pelagatti

jumps

Hodrick-Prescott Filter with Jumps

Paolo Maranzano

BIC.hpj function

<dl><dt>object</dt>
<dd>an object of class hpj;</dd>
<dt>...</dt>
<dd>additional objects of class hpj.</dd></dl>

Arguments

BIC method for the class hpj — BIC.hpj

<dl>

<dt>object</dt>
<dd>an object of class hpj;</dd>


<dt>...</dt>
<dd>additional objects of class hpj.</dd>

</dl>

BIC.hpj: BIC method for the class hpj

Description

Usage

Value

Arguments