hamilton-filter

Here are 2 public repositories matching this topic...

SSEconomics / business-cycle-filters

Stata and R code to replicate the analysis of the Hodrick-Prescott (HP) Filter, Hamilton Filter, and Growth Rates for macroeconomic time series.

r stata econometrics filtering time-series-analysis macroeconomics r-stats business-cycles detrending hodrick-prescott-filter hp-filter hamilton-filter

Updated Feb 28, 2026
Stata

GiovanniManche / endogenous-regime-switching-ccp2017

Star

MATLAB replication and extension of Chang, Choi & Park (2017): endogenous regime switching with latent AR(1) dynamics. Applied to US GDP, VIX, WTI, and equity returns.

time-series matlab econometrics latent-variable-models regime-switching hamilton-filter

Updated Mar 20, 2026
MATLAB

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