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Grocer >> Business cycle tools > bkfilter

bkfilter

Baxter-King filter

CALLING SEQUENCE

[fX,AA]=bkfilter(namey,pl,pu,arg1,…,argn)

PARAMETERS

Input

• namey = a time series, a real (nx1) vector or a string equal to the name of a time series or a (nx1) real vector between quotes

• pl = minimum period of oscillation of desired component

• pu = maximum period of oscillation of desired component (2<=pl<pu<infinity)

• nfix = - length of the fixed filter (if typ = 'sym')

 - or: dropped observations at the beginning and end of resulting variable

• typ = 'fixed' for a fixed length filter (default) or 'vari' for a variable length filter

Output

• fX = (nX1) vector containing filtered data

• AA = filtering matrix

DESCRIPTION

Baxter-King filter.

EXAMPLE

load(GROCERDIR+'/macros/grocer/db/bkfilter.dat'); 
[gdp_f,A]=bkfilter(gdp,2,8,'root=1','drift=1','asym')

AUTHOR

Eric Dubois 2004

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