MATLAB Comovement Programs
AbstractThe set of programs on this website present two methods that can be used to obtain a concise set of descriptive results about the comovement of variables. The first method calculates the correlations of VAR forecast errors for two time-series at various forecast horizons. The second method calculates correlations of two filtered time-series at different frequencies using high-pass filters from the frequency domain (proposed by Baxter and King (1994)).
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Bibliographic InfoSoftware component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 70.
Programming language: Matlab
Date of creation: Sep 2000
Date of revision:
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