Package: mhpfilter
Type: Package
Title: Modified Hodrick-Prescott Filter with Optimal Smoothing
        Parameter Selection
Version: 0.1.0
Authors@R: c(
    person("Muhammad", "Yaseen", 
           email = "myaseen208@gmail.com", 
           role = c("aut", "cre"),
           comment = c(ORCID = "0000-0002-5923-1714")),
    person("Javed", "Iqbal",
           email = "Javed.iqbal6@sbp.org.pk", 
           role = "ctb",
           comment = "Original methodology author"),
    person("M. Nadim", "Hanif",
           email = "Nadeem.hanif@sbp.org.pk",
           role = "ctb",
           comment = "Original methodology author")
    )
Maintainer: Muhammad Yaseen <myaseen208@gmail.com>
Description: High-performance implementation of the Modified
        Hodrick-Prescott (HP) Filter for decomposing macroeconomic time
        series into trend and cyclical components. Based on the
        methodology of Choudhary, Hanif and Iqbal (2014)
        <doi:10.1080/00036846.2014.894631> "On smoothing macroeconomic
        time series using the modified HP filter", which uses
        generalized cross-validation (GCV) to automatically select the
        optimal smoothing parameter lambda, following McDermott (1997)
        "An automatic method for choosing the smoothing parameter in
        the HP filter" (as described in Coe and McDermott (1997)
        <doi:10.2307/3867497>). Unlike the standard HP filter that uses
        fixed lambda values (1600 for quarterly, 100 for annual data),
        this package estimates series-specific lambda values that
        minimize the GCV criterion. Implements efficient C++ routines
        via 'RcppArmadillo' for fast computation, supports batch
        processing of multiple series, and provides comprehensive
        visualization tools using 'ggplot2'. Particularly useful for
        cross-country macroeconomic comparisons, business cycle
        analysis, and when the appropriate smoothing parameter is
        uncertain.
License: MIT + file LICENSE
Encoding: UTF-8
URL: https://myaseen208.com/mhpfilter/
BugReports: https://github.com/myaseen208/mhpfilter/issues
Depends: R (>= 4.0.0)
Imports: Rcpp (>= 1.0.0), RcppArmadillo (>= 0.12.0.0.0), data.table (>=
        1.14.0), collapse (>= 2.0.0), ggplot2 (>= 3.4.0)
LinkingTo: Rcpp, RcppArmadillo
Suggests: knitr (>= 1.40), rmarkdown (>= 2.20), testthat (>= 3.0.0),
        tidyverse (>= 2.0.0), fastverse (>= 0.3.0)
VignetteBuilder: knitr
RoxygenNote: 7.3.3
NeedsCompilation: yes
Language: en-US
Repository: https://myaseen208.r-universe.dev
Date/Publication: 2026-02-13 07:41:45 UTC
RemoteUrl: https://github.com/myaseen208/mhpfilter
RemoteRef: HEAD
RemoteSha: 308f6886e1eadc3ec9a8e52f3bb799facac3c209
Packaged: 2026-06-14 07:41:59 UTC; root
Author: Muhammad Yaseen [aut, cre] (ORCID:
    <https://orcid.org/0000-0002-5923-1714>),
  Javed Iqbal [ctb] (Original methodology author),
  M. Nadim Hanif [ctb] (Original methodology author)