RATS code for Business Cycles Statistics and their Standard Errors
In this RATS program we calculate the standard set of business cycle statistics including ratios of standard deviations, autocorrelations and crosscorrelations. The user can choose from a variety of detrending methods such as (1) the Hodrick-Prescott filter, (2) the Baxter-King filter, and (3) the first difference filter. To calculate standard errors, the reader can choose between the VARHAC procedure proposed in Den Haan and Levin (1994), and the optimal bandwidth procedure from Newey and West (1994). "cycles.rat" is an example program. The program is very user friendly. The program has a "parameter" section and a "data" section. For most purposes, these are the only sections that the reader would ever want to change. "cycles.dat" is the data file that is being used in this example program.
|Date of creation:||1995|
|Contact details of provider:|| Postal: P.O. Box 442, St. Louis, MO 63166|
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