Changes in version 0.1.0 (2026-02-13)                  

Initial CRAN Release (2026-02-06)

This is the first official release of mhpfilter to CRAN.

Overview

mhpfilter implements the Modified Hodrick-Prescott (HP) Filter for
decomposing macroeconomic time series into trend and cyclical
components. The package automatically selects the optimal smoothing
parameter λ using generalized cross-validation (GCV), based on the
methodology of Choudhary, Hanif & Iqbal (2014).

Core Features

Filtering Functions

  - mhp_filter() - Modified HP filter with automatic λ selection via GCV
  - hp_filter() - Standard HP filter with fixed λ parameter
  - mhp_compare() - Compare HP vs Modified HP for single series
  - mhp_batch() - Batch processing for multiple time series
  - batch_compare() - Batch comparison of HP vs Modified HP

Visualization Functions

  - autoplot.mhp() - ggplot2-based visualization for mhp objects
  - plot_comparison() - Visual comparison of HP vs Modified HP results
  - plot_batch() - Visualization of batch processing results

Utility Functions

  - get_lambda() - Extract optimal λ from results
  - get_gcv() - Extract GCV value from results
  - print.mhp() - Print method for mhp class objects

Technical Implementation

High Performance

  - Fast C++ implementation using RcppArmadillo for matrix operations
  - Optimized grid search algorithm for λ selection
  - Efficient memory management for large time series
  - Linear scaling for batch processing of multiple series

Modern R Integration

  - Full compatibility with data.table (≥ 1.14.0)
  - Integration with collapse (≥ 2.0.0) for fast statistics
  - Support for kit (≥ 0.0.11) utilities
  - Works seamlessly with tidyverse (≥ 2.0.0) and fastverse (≥ 0.3.0)
  - ggplot2-based professional visualizations

Documentation

Comprehensive Vignettes

  - Introduction - Quick start guide with practical examples
    
      - Basic usage and workflow
      - Comparison with standard HP filter
      - Real-world applications

  - Methodology - Mathematical theory and derivations
    
      - Standard HP filter formulation
      - Generalized cross-validation criterion
      - Optimal λ selection procedure
      - Performance characteristics

Function Documentation

  - Complete roxygen2 documentation for all functions
  - Mathematical formulas properly rendered with LaTeX
  - Extensive examples with commentary
  - Author affiliations and ORCID identifiers

Package Website

  - Professional pkgdown site with full documentation
  - Download statistics and badges
  - Interactive examples and tutorials
  - API reference with search functionality

Methodology Reference

This implementation is based on:

Choudhary, M.A., Hanif, M.N., & Iqbal, J. (2014). "On smoothing
macroeconomic time series using the modified HP filter." Applied
Economics, 46(19), 2205-2214.
https://doi.org/10.1080/00036846.2014.896982

Authors and Contributors

Package Author and Maintainer

Muhammad Yaseen
Postdoctoral Research Fellow
School of Mathematical and Statistical Sciences
Clemson University

Original Methodology Authors

Javed Iqbal - State Bank of Pakistan
M. Nadim Hanif - State Bank of Pakistan

Installation

# From CRAN (recommended)
install.packages("mhpfilter")

# From GitHub (development version)
devtools::install_github("myaseen208/mhpfilter")

System Requirements

  - R ≥ 4.0.0
  - C++ compiler for building from source
  - Operating systems: Windows, macOS, Linux

Testing and Quality Assurance

  - Comprehensive test suite with testthat (≥ 3.0.0)
  - Continuous integration via GitHub Actions
  - R CMD check passes on all platforms
  - CRAN policy compliance verified
  - No NOTEs, WARNINGs, or ERRORs

License

MIT License

Bug Reports and Issues

Please report bugs at: https://github.com/myaseen208/mhpfilter/issues

Acknowledgments

  - Original methodology: Choudhary, Hanif & Iqbal (2014)
  - RcppArmadillo team for excellent C++ integration
  - R Core Team for the R statistical computing environment
  - CRAN team for review and hosting

For more information, visit: https://github.com/myaseen208/mhpfilter