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Business cycle extraction based on constrained multivariate HP filter

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Author Info

  • Gabor Vadas

    (Central European University)

Abstract

The code computes the cyclically adjusted budget balance by three methods: the aggregate approach of OECD/IMF, the simple disaggregate method of European Central Bank and finally our disaggregate method using the constrained multivariate HP filter and two behavior equations (production function and consumption equation). Sample data is included.

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File URL: http://dge.repec.org/codes/vadas/CMHP.zip
File Function: program code with sample data
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Bibliographic Info

Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 159.

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Programming language: GAUSS
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Date of creation: 2006
Date of revision: 2007
Handle: RePEc:dge:qmrbcd:159

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