A Note on the Baxter-King Filter
AbstractRecently, Baxter and King (1995) developed a bandpass filter which overcomes to some extent the well known drawbacks of the Hodrick-Prescott filter. In this paper, the circumstances under which the Baxter-King filter is preferable are identified, and a modification is presented which takes into account spurious side lobes generated by this method.
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Bibliographic InfoPaper provided by Business School - Economics, University of Glasgow in its series Working Papers with number 9813.
Date of creation: Jun 1998
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