mFilter (Q37767)
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Miscellaneous Time Series Filters
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | mFilter |
Miscellaneous Time Series Filters |
Statements
expanded from: GPL (≥ 2) (English)
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6 September 2026
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The mFilter package 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, Christiano-Fitzgerald, Baxter-King, Hodrick-Prescott, Butterworth, and trigonometric regression filters are included in the package.
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