Matlab code for A Method for Decomposing Time Series into Trend and Cycle Components
AbstractThis method separate a time series into a smooth component whose mean varies over time (the trend) and a stationary component (the cycle). the non-parametric method for obtaining the trend ensures that short term changes in trend growth are not associated with the current level of the cycle, thus ensuring a modicum of independence between the two series.
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Bibliographic InfoSoftware component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 75.
Programming language: Matlab
Date of creation: Dec 1999
Date of revision:
Other versions of this item:
- Julio J. Rotemberg, 1999. "A Heuristic Method for Extracting Smooth Trends from Economic Time Series," NBER Working Papers 7439, National Bureau of Economic Research, Inc.
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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