hpfilter

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The One- And Two-Sided Hodrick-Prescott Filter

Alexandru Monahov

Last update: 28 May 2023

Copyright license: Creative Commons Attribution-ShareAlike 4.0 International

Software version identifier: 1.0.1, 1.0.2

Cites work

• Postwar U.S. Business Cycles: An Empirical Investigation
• Exact formulas for the Hodrick-Prescott filter

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