MacroFilters: Robust Trend-Cycle Decomposition for Macroeconomic Time Series
Provides high-performance tools for macroeconomic trend extraction and filtering, specifically designed to solve the end-point problem in real-time. Implements the MacroBoost Hybrid (MBH) filter using penalized P-splines and gradient boosting. Unlike the standard Hodrick-Prescott filter, 'MacroFilters' utilizes component-wise L2-boosting with robust loss functions (Huber) to handle extreme transient shocks (e.g., COVID-19) without inducing spurious trend shifts. The algorithm includes an automated two-layer diagnostic stage for unit roots and structural breaks, optimized via corrected AICc for computational efficiency. Methodology detailed in Kinel (2026) <doi:10.2139/ssrn.6371138>.
| Version: | 0.1.0 |
| Depends: | R (≥ 3.5.0) |
| Imports: | Matrix, mboost, tseries |
| Suggests: | data.table, ggplot2, knitr, rmarkdown, scales, strucchange, testthat (≥ 3.0.0), usethis, xts, zoo |
| Published: | 2026-05-27 |
| DOI: | 10.32614/CRAN.package.MacroFilters (may not be active yet) |
| Author: | Michal Kinel 
[aut, cre] |
| Maintainer: | Michal Kinel <michal.kinel at gmail.com> |
| BugReports: | https://github.com/michal0091/MacroFilters/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/michal0091/MacroFilters, https://michal0091.github.io/MacroFilters/ |
| NeedsCompilation: | no |
| Language: | en-US |
| Citation: | MacroFilters citation info |
| Materials: | README |
| CRAN checks: | MacroFilters results |
Documentation:
| Reference manual: | MacroFilters.html , MacroFilters.pdf |
| Vignettes: |
Introduction to MacroFilters (source, R code) Solving the End-Point Problem in Real-Time (source, R code) Hyperparameter Tuning for the MacroBoost Hybrid Filter (source, R code) |
Downloads:
| Package source: | MacroFilters_0.1.0.tar.gz |
| Windows binaries: | r-devel: not available, r-release: MacroFilters_0.1.0.zip, r-oldrel: not available |
| macOS binaries: | r-release (arm64): MacroFilters_0.1.0.tgz, r-oldrel (arm64): MacroFilters_0.1.0.tgz, r-release (x86_64): MacroFilters_0.1.0.tgz, r-oldrel (x86_64): MacroFilters_0.1.0.tgz |
Linking:
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