{ "_id": "6a1c986d1d7bb097a0a32b3c", "Package": "MacroFilters", "Title": "Robust Trend-Cycle Decomposition for Macroeconomic Time Series", "Version": "0.2.0", "Authors@R": "person(\"Michal\", \"Kinel\", , \"michal.kinel@gmail.com\", role = c(\"aut\", \"cre\"),\ncomment = c(ORCID = \"0009-0007-3295-7199\"))", "Description": "Provides high-performance tools for macroeconomic trend\nextraction and filtering, specifically designed to solve the\nend-point problem in real-time. Implements the MacroBoost\nHybrid (MBH) filter using penalized P-splines and gradient\nboosting. Unlike the standard Hodrick-Prescott filter,\n'MacroFilters' utilizes component-wise L2-boosting with robust\nloss functions (Huber) to handle extreme transient shocks\n(e.g., COVID-19) without inducing spurious trend shifts. The\nalgorithm includes an automated two-layer diagnostic stage for\nunit roots and structural breaks, optimized via corrected AICc\nfor computational efficiency. Methodology detailed in Kinel\n(2026) .", "License": "MIT + file LICENSE", "Encoding": "UTF-8", "Language": "en-US", "LazyData": "true", "Roxygen": "list(markdown = TRUE)", "RoxygenNote": "7.3.3", "URL": "https://github.com/michal0091/MacroFilters,\nhttps://michal0091.github.io/MacroFilters/", "BugReports": "https://github.com/michal0091/MacroFilters/issues", "VignetteBuilder": "knitr", "Config/testthat/edition": "3", "Repository": "https://michal0091.r-universe.dev", "Date/Publication": "2026-05-31 19:34:58 UTC", "RemoteUrl": "https://github.com/michal0091/macrofilters", "RemoteRef": "HEAD", "RemoteSha": "70fddb53ea1705a22545e4270d305d63a2cb7db7", "NeedsCompilation": "no", "Packaged": { "Date": "2026-05-31 20:18:25 UTC", "User": "root" }, "Author": "Michal Kinel [aut, cre] (ORCID:\n)", "Maintainer": "Michal Kinel ", "MD5sum": "a8f4b3d5f753b66e6a6073776e8ffad7", "_user": "michal0091", "_type": "src", "_file": "MacroFilters_0.2.0.tar.gz", "_fileid": "96ded6748cf0ab90266e2b622197f58957b3364bdacc0e3feb340a097d5fca59", "_filesize": 2001191, "_sha256": "96ded6748cf0ab90266e2b622197f58957b3364bdacc0e3feb340a097d5fca59", "_created": "2026-05-31T20:18:25.000Z", "_published": "2026-05-31T20:22:05.193Z", "_distro": "noble", "_jobs": [ { "job": 78754375951, "time": 183, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "7319795129" }, { "job": 78754375953, "time": 165, "config": "linux-release-x86_64", "r": "4.6.0", "check": "OK", "artifact": "7319793259" }, { "job": 78754375955, "time": 100, "config": "macos-oldrel-arm64", "r": "4.5.3", "check": "OK", "artifact": "7319786532" }, { "job": 78754375956, "time": 93, "config": "macos-release-arm64", "r": "4.6.0", "check": "OK", "artifact": "7319785860" }, { "job": 78754128864, "time": 253, "config": "source", "r": "4.6.0", "check": "OK", "artifact": "7319776410" }, { "job": 78754375942, "time": 118, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "7319788289" }, { "job": 78754375961, "time": 129, "config": "windows-devel", "r": "4.7.0", "check": "OK", "artifact": "7319789767" }, { "job": 78754375960, "time": 124, "config": "windows-oldrel", "r": "4.5.3", "check": "OK", "artifact": "7319789000" }, { "job": 78754375962, "time": 111, "config": "windows-release", "r": "4.6.0", "check": "OK", "artifact": "7319787721" } ], "_buildurl": "https://github.com/r-universe/michal0091/actions/runs/26723287909", "_status": "success", "_host": "GitHub-Actions", "_upstream": "https://github.com/michal0091/macrofilters", "_commit": { "id": "70fddb53ea1705a22545e4270d305d63a2cb7db7", "author": "Michal Kinel ", "committer": "Michal Kinel ", "message": "ci: add rhub v2 workflow for CRAN checks\n", "time": 1780256098 }, "_maintainer": { "name": "Michal Kinel", "email": "michal.kinel@gmail.com", "login": "michal0091", "mastodon": "@miki_peltzer@techhub.social", "twitter": "@nico_kinel", "description": "Der Weltbürger. Data Scientist & Economist. Datos y economía amigos inseparables.\n#R #rstats #rgis", "uuid": 36136546 }, "_registered": true, "_dependencies": [ { "package": "R", "version": ">= 3.5", "role": "Depends" }, { "package": "data.table", "role": "Imports" }, { "package": "ggplot2", "role": "Imports" }, { "package": "Matrix", "role": "Imports" }, { "package": "mboost", "role": "Imports" }, { "package": "tseries", "role": "Imports" }, { "package": "knitr", "role": "Suggests" }, { "package": "rmarkdown", "role": "Suggests" }, { "package": "scales", "role": "Suggests" }, { "package": "strucchange", "role": "Suggests" }, { "package": "testthat", "version": ">= 3.0.0", "role": "Suggests" }, { "package": "usethis", "role": "Suggests" }, { "package": "xts", "role": "Suggests" }, { "package": "zoo", "role": "Suggests" } ], "_owner": "michal0091", "_selfowned": true, "_usedby": 0, "_updates": [ { "week": "2026-05", "n": 6 }, { "week": "2026-07", "n": 17 }, { "week": "2026-09", "n": 12 }, { "week": "2026-10", "n": 2 }, { "week": "2026-12", "n": 3 }, { "week": "2026-13", "n": 1 }, { "week": "2026-21", "n": 8 }, { "week": "2026-22", "n": 6 } ], "_tags": [ { "name": "v0.1.0", "date": "2026-05-18" }, { "name": "v0.2.0", "date": "2026-05-31" } ], "_stars": 11, "_contributors": [ { "user": "michal0091", "count": 96, "uuid": 36136546 } ], "_userbio": { "uuid": 36136546, "type": "user", "name": "Michal Kinel", "description": "Der Weltbürger. Data Scientist & Economist. Datos y economía amigos inseparables.\r\n#R #rstats #rgis" }, "_downloads": { "count": 86, "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/MacroFilters" }, "_devurl": "https://github.com/michal0091/macrofilters", "_pkgdown": "https://michal0091.github.io/MacroFilters/", "_searchresults": 7, "_rbuild": "4.6.0", "_assets": [ "extra/citation.cff", "extra/citation.html", "extra/citation.json", "extra/citation.txt", "extra/contents.json", "extra/MacroFilters.html", "extra/NEWS.html", "extra/NEWS.txt", "extra/readme.html", "extra/readme.md", "manual.pdf" ], "_homeurl": "https://github.com/michal0091/macrofilters", "_realowner": "michal0091", "_cranurl": true, "_releases": [ { "version": "0.1.0", "date": "2026-05-27" } ], "_exports": [ "autoplot", "bhp_filter", "hamilton_filter", "hp_filter", "mbh_filter" ], "_datasets": [ { "name": "es_gdp", "title": "Spain Real GDP — FRED Vintage", "object": "es_gdp", "class": [ "data.table", "data.frame" ], "fields": [ "date", "gdp_real", "gdp_log" ], "rows": 125, "table": true, "tojson": true }, { "name": "fr_gdp", "title": "France Real GDP — FRED Vintage", "object": "fr_gdp", "class": [ "data.table", "data.frame" ], "fields": [ "date", "gdp_real", "gdp_log" ], "rows": 185, "table": true, "tojson": true }, { "name": "us_gdp_vintage", "title": "US Real GDP — FRED Vintage", "object": "us_gdp_vintage", "class": [ "data.table", "data.frame" ], "fields": [ "date", "gdp_real", "gdp_log" ], "rows": 316, "table": true, "tojson": true } ], "_help": [ { "page": "autoplot.macrofilter", "title": "Plot a macrofilter decomposition with ggplot2", "topics": [ "autoplot.macrofilter" ] }, { "page": "bhp_filter", "title": "Boosted HP Filter", "topics": [ "bhp_filter" ] }, { "page": "es_gdp", "title": "Spain Real GDP — FRED Vintage", "topics": [ "es_gdp" ] }, { "page": "fr_gdp", "title": "France Real GDP — FRED Vintage", "topics": [ "fr_gdp" ] }, { "page": "hamilton_filter", "title": "Hamilton Filter", "topics": [ "hamilton_filter" ] }, { "page": "hp_filter", "title": "Hodrick-Prescott Filter (Sparse Matrix Implementation)", "topics": [ "hp_filter" ] }, { "page": "mbh_filter", "title": "MacroBoost Hybrid (MBH) Filter", "topics": [ "mbh_filter" ] }, { "page": "us_gdp_vintage", "title": "US Real GDP — FRED Vintage", "topics": [ "us_gdp_vintage" ] } ], "_pkglogo": "https://github.com/michal0091/macrofilters/raw/HEAD/man/figures/logo.png", "_readme": "https://github.com/michal0091/macrofilters/raw/HEAD/README.md", "_rundeps": [ "cli", "cpp11", "curl", "data.table", "farver", "Formula", "ggplot2", "glue", "gtable", "inum", "isoband", "jsonlite", "labeling", "lattice", "libcoin", "lifecycle", "Matrix", "mboost", "mvtnorm", "nnls", "partykit", "quadprog", "quantmod", "R6", "RColorBrewer", "rlang", "rpart", "S7", "scales", "stabs", "survival", "tseries", "TTR", "vctrs", "viridisLite", "withr", "xts", "zoo" ], "_vignettes": [ { "source": "tuning_mbh.Rmd", "filename": "tuning_mbh.html", "title": "Hyperparameter Tuning for the MacroBoost Hybrid Filter", "engine": "knitr::rmarkdown", "headings": [ "1 Anatomy of the MBH Trifecta", "1.1 mstop — iteration budget", "1.2 nu — shrinkage", "1.3 knots — spline flexibility", "2 Auto-calibration of Huber Delta d", "2.1 Scale invariance", "2.2 Scale-mismatch warning for log-level input", "3 Overriding d for High-Volatility Series", "4 Computational Trade-off Benchmark", "Practical guidance", "5 Summary" ], "created": "2026-03-17 22:42:06", "modified": "2026-05-31 19:07:56", "commits": 2 }, { "source": "introduction.Rmd", "filename": "introduction.html", "title": "Introduction to MacroFilters", "engine": "knitr::rmarkdown", "headings": [ "1. Introduction: Trend-Cycle Decomposition", "The outlier problem", "2. Input Agnosticism: Bring Your Own Class", "Example: same filter, two input formats", "3. The Filter Arsenal", "3.1 hp_filter() — Sparse Hodrick-Prescott", "3.2 hamilton_filter() — Regression-Based Alternative", "3.3 bhp_filter() — Boosted HP", "4. The Crown Jewel: mbh_filter()", "The Problem with Squared Loss", "The MBH Solution: Huber Loss + Boosting", "Additive Model", "Parameters", "Quick example", "5. The macrofilter S3 Class", "Printing", "Accessing components", "Inspecting metadata", "Plotting cycles side by side", "References" ], "created": "2026-02-24 18:44:30", "modified": "2026-05-31 19:07:56", "commits": 6 }, { "source": "real_time_revisions.Rmd", "filename": "real_time_revisions.html", "title": "Solving the End-Point Problem in Real-Time", "engine": "knitr::rmarkdown", "headings": [ "1 The End-Point Problem", "2 Expanding-Window Simulation", "3 The Role of boundary.knots", "4 Vintage Fan Chart", "5 The Backward Revision Test", "Summary" ], "created": "2026-03-17 22:42:06", "modified": "2026-05-31 19:07:56", "commits": 2 }, { "source": "uncertainty_bands.Rmd", "filename": "uncertainty_bands.html", "title": "Uncertainty Bands via Block Bootstrap", "engine": "knitr::rmarkdown", "headings": [ "1. Why quantify trend uncertainty?", "2. The mechanics", "3. Bands for every filter", "Reading the end-point fan", "A note on the Hamilton band", "4. References" ], "created": "2026-05-31 19:07:56", "modified": "2026-05-31 19:07:56", "commits": 1 } ], "_score": 6.2455126678141495, "_indexed": true, "_nocasepkg": "macrofilters", "_universes": [ "michal0091" ], "_previous": "0.1.0", "_binaries": [ { "r": "4.7.0", "os": "linux", "version": "0.2.0", "date": "2026-05-31T20:21:03.000Z", "distro": "noble", "commit": "70fddb53ea1705a22545e4270d305d63a2cb7db7", "fileid": "cb11bce7102d675834a287362f2a64f7f0f7600d240e05223432f607b9c97330", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/michal0091/actions/runs/26723287909" }, { "r": "4.6.0", "os": "linux", "version": "0.2.0", "date": "2026-05-31T20:20:48.000Z", "distro": "noble", "commit": "70fddb53ea1705a22545e4270d305d63a2cb7db7", "fileid": "47741390042385246472f20f7a4d06a4ecc2831b60d466d42ad19684bfbb0c52", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/michal0091/actions/runs/26723287909" }, { "r": "4.5.3", "os": "mac", "version": "0.2.0", "date": "2026-05-31T20:19:57.000Z", "commit": "70fddb53ea1705a22545e4270d305d63a2cb7db7", "fileid": "206a2faa8794173684969d91b9833729d5bdcf4517e39d651af2e70a0d7cc7b0", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/michal0091/actions/runs/26723287909" }, { "r": "4.6.0", "os": "mac", "version": "0.2.0", "date": "2026-05-31T20:19:53.000Z", "commit": "70fddb53ea1705a22545e4270d305d63a2cb7db7", "fileid": "261b05e3310f2949b0032293ce52fd9373737f2e4cd9364017a323ee63050fb2", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/michal0091/actions/runs/26723287909" }, { "r": "4.6.0", "os": "wasm", "version": "0.2.0", "date": "2026-05-31T20:20:44.000Z", "commit": "70fddb53ea1705a22545e4270d305d63a2cb7db7", "fileid": "5e8b72ac6fb479e21694c375e1c263116c5f987bad2bb6518ff2a4a5d16bd129", "status": "success", "buildurl": "https://github.com/r-universe/michal0091/actions/runs/26723287909" }, { "r": "4.7.0", "os": "win", "version": "0.2.0", "date": "2026-05-31T20:20:06.000Z", "commit": "70fddb53ea1705a22545e4270d305d63a2cb7db7", "fileid": "b9bddbeda5ee25c555bd74f74b9b6614de2de6daeb8b96d3f2b093c7258dbb53", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/michal0091/actions/runs/26723287909" }, { "r": "4.5.3", "os": "win", "version": "0.2.0", "date": "2026-05-31T20:19:53.000Z", "commit": "70fddb53ea1705a22545e4270d305d63a2cb7db7", "fileid": "81dca67c6d9392210cb2110ae40f95eed541664c40df5753847912688ed06cc4", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/michal0091/actions/runs/26723287909" }, { "r": "4.6.0", "os": "win", "version": "0.2.0", "date": "2026-05-31T20:19:44.000Z", "commit": "70fddb53ea1705a22545e4270d305d63a2cb7db7", "fileid": "098017ef75359ee954d070eb96683d55f14f4d309c0f274395cf99dc086ced72", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/michal0091/actions/runs/26723287909" } ] }