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MacroFilters

Working Paper Available: The econometric methodology and mathematical proofs underlying this package are distributed via SSRN: Robust Real-Time Macroeconomic Trend Extraction: A Gradient Boosting Approach.

MacroFilters is a unified, high-performance library for extracting trend and cycle components from macroeconomic time series. It combines classical filters (Hodrick-Prescott, Hamilton, Boosted HP) with its flagship algorithm, the MacroBoost Hybrid (MBH) — a gradient-boosting filter with Huber loss that is immune to structural shocks such as COVID-19, financial crises, and wars.

Why MacroFilters instead of mFilter or neverhpfilter?

  • Robustness: mbh_filter() replaces L2L_2 squared-error loss with Huber loss, ensuring extreme exogenous shocks never distort the structural trend.
  • Speed: The HP implementation uses sparse-matrix Cholesky factorisation (Matrix), scaling as O(n) instead of the dense O(n³) used by legacy packages.
  • Input agnosticism: Pass a plain numeric vector, a ts, an xts, or a zoo object — the output always matches the input class seamlessly.

The End-Point Problem: Solved

During extreme black swan events, traditional filters anchored in L2L_2 loss mechanically deform the long-run structural trend to absorb massive, transitory outliers.

As demonstrated with Real US GDP during the 2020 Q2 COVID-19 collapse, the standard HP filter bends towards the shock. The MBH filter isolates the exogenous shock entirely within the cyclical component, preserving absolute trend integrity in real-time.

Furthermore, ex-ante spectral alignment ensures the MBH filter perfectly matches the baseline cyclical volatility of the industry-standard HP filter during normal conditions, unlike the excessively volatile Hamilton filter.

(Plots generated using real-time vintage data from the Federal Reserve Economic Data - FRED).

Installation 

# install.packages("devtools")
devtools::install_github("michal0091/MacroFilters")

Quick Start Arsenal

Function Method Key Advantage
hp_filter() Hodrick-Prescott (1997) Sparse O(n) implementation
hamilton_filter() Hamilton (2018) OLS regression, no spurious cycles
bhp_filter() Boosted HP — Phillips & Shi (2021) Iterative fitting with BIC/ADF stopping
mbh_filter() MacroBoost Hybrid Robust to outliers via Huber loss

All functions return a macrofilter S3 object.

library(MacroFilters)

# Fast, agnostic filtering on any time-series object
hp_result  <- hp_filter(us_gdp_xts)
mbh_result <- mbh_filter(us_gdp_xts)

# Access components directly
mbh_result$trend
mbh_result$cycle

Further Reading

See vignette("introduction", package = "MacroFilters") for a full walkthrough covering all four filters and the S3 print/meta interface.