Package: MacroFilters
Title: Robust Trend-Cycle Decomposition for Macroeconomic Time Series
Version: 0.2.1
Authors@R: 
    person("Michal", "Kinel", , "michal.kinel@gmail.com", role = c("aut", "cre"),
           comment = c(ORCID = "0009-0007-3295-7199"))
Description: 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>.
License: MIT + file LICENSE
Encoding: UTF-8
Language: en-US
LazyData: true
Roxygen: list(markdown = TRUE)
URL: https://github.com/michal0091/MacroFilters,
        https://michal0091.github.io/MacroFilters/
BugReports: https://github.com/michal0091/MacroFilters/issues
Imports: data.table, ggplot2, Matrix, mboost, tseries
Suggests: knitr, rmarkdown, scales, strucchange, testthat (>= 3.0.0),
        usethis, xts, zoo
VignetteBuilder: knitr
Depends: R (>= 3.5)
Config/testthat/edition: 3
Config/roxygen2/version: 8.0.0
Repository: https://michal0091.r-universe.dev
Date/Publication: 2026-06-11 20:29:31 UTC
RemoteUrl: https://github.com/michal0091/macrofilters
RemoteRef: HEAD
RemoteSha: 6bdff4954d9f74d353473b331de12b448e0c716f
NeedsCompilation: no
Packaged: 2026-07-11 09:12:53 UTC; root
Author: Michal Kinel [aut, cre] (ORCID:
    <https://orcid.org/0009-0007-3295-7199>)
Maintainer: Michal Kinel <michal.kinel@gmail.com>