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A Trend-Cycle(-Season) Filter: Prgoramme Code for Eviews, Excel, and MatLab

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Author Info

  • Matthias Mohr

    (European Central Bank)

Abstract

This 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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File URL: http://128.118.178.162/eps/em/papers/0508/0508005.zip
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Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 0508005.

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Date of creation: 03 Aug 2005
Date of revision:
Handle: RePEc:wpa:wuwpem:0508005

Note: Type of Document - zip. Programme code for Excel, Eviews, and MatLab
Contact details of provider:
Web page: http://128.118.178.162

Related research

Keywords: economic cycles; time series; filtering; trend-cycle decomposition; seasonality;

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