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Matlab implementation of commonly used filters

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Author Info
Pawe³ Kowal (Warsaw School of Economics)

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Abstract

Matlab codes that implement commonly used filters in macroeconomics. We consider Baxter-King filter, Christiano-Fitzgerald filter, as well as standard and optimal finite sample approximation of Hodrick-Prescott and Butterworth filters.

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File URL: http://129.3.20.41/eps/prog/papers/0507/0507001.zip
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Publisher Info
Software component provided by EconWPA in its series Computer Programs with number 0507001.

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Date of creation: 26 Jul 2005
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Handle: RePEc:wpa:wuwppr:0507001

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Web page: http://129.3.20.41

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Related research
Keywords: filters Matlab

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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This page was last updated on 2008-5-4.

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