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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

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