A Trend-Cycle(-Season) Filter: Prgoramme Code for Eviews, Excel, and MatLab
AbstractThis zip archive contains implementations of the trend-cycle-season filter in Eviews, Excel, and MatLab. The trend-cycle-season filter is another univariate method to decompose a time series into a trend, a cyclical and a seasonal component: the Trend-Cycle filter (TC filter) and its extension, the Trend-Cycle-Season filter (TCS filter), see paper ewp-em/0508004 at http://econwpa.wustl.edu/eprints/em/papers/0508/0508004.abs
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0508005.
Date of creation: 03 Aug 2005
Date of revision:
Note: Type of Document - zip. Programme code for Excel, Eviews, and MatLab
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economic cycles; time series; filtering; trend-cycle decomposition; seasonality;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-08-13 (All new papers)
- NEP-DGE-2005-08-13 (Dynamic General Equilibrium)
- NEP-ETS-2005-08-13 (Econometric Time Series)
- NEP-MAC-2005-08-13 (Macroeconomics)
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