IDEAS home Printed from

Business cycle extraction based on constrained multivariate HP filter


  • Gabor Vadas

    (Central European University)


The code computes the cyclically adjusted budget balance by three methods: the aggregate approach of OECD/IMF, the simple disaggregate method of European Central Bank and finally our disaggregate method using the constrained multivariate HP filter and two behavior equations (production function and consumption equation). Sample data is included.

Suggested Citation

  • Gabor Vadas, 2006. "Business cycle extraction based on constrained multivariate HP filter," QM&RBC Codes 159, Quantitative Macroeconomics & Real Business Cycles, revised 2007.
  • Handle: RePEc:dge:qmrbcd:159

    Download full text from publisher

    File URL:
    File Function: program code with sample data
    Download Restriction: none

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:dge:qmrbcd:159. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann) or (Humberto Barreto). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.