jumps: Hodrick-Prescott Filter with Jumps
Matteo Maria Pelagatti, Paolo Maranzano · 2025
A set of functions to compute the Hodrick-Prescott (HP) filter with automatically selected jumps. The original HP filter extracts a smooth trend from a time series, and our version allows for a small number of automatically identified jumps. See Maranzano and Pelagatti (2024) for details.