mFilter - Miscellaneous Time Series Filters
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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baxter-king-filterbutterworth-filterchristiano-fitzgerald-filterfiltershodrick-prescott-filtermacroeconomicstime-seriestrigonometric-regression-filter
7.53 score 6 stars 4 dependents 1.2k scripts 4.0k downloadsnonParQuantileCausality - Nonparametric Causality in Quantiles Test
Implements the nonparametric causality-in-quantiles test (in mean or variance), returning a test object with an S3 plot() method. The current implementation uses one lag of each series (first-order Granger causality setup). Methodology is based on Balcilar, Gupta, and Pierdzioch (2016) <doi:10.1016/j.resourpol.2016.04.004> and Balcilar et al. (2016) <doi:10.1007/s11079-016-9388-x>.
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4.78 score 4 stars 4 scripts 135 downloads