A Note on the Baxter-King Filter
Recently, Baxter and King (1995) developed a bandpass filter which overcomes to some extent the well known drawbacks of the Hodrick-Prescott filter. In this paper, the circumstances under which the Baxter-King filter is preferable are identified, and a modification is presented which takes into account spurious side lobes generated by this method.
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451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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NBER Working Papers
5022, National Bureau of Economic Research, Inc.
- Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
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Cahiers de recherche CREFE / CREFE Working Papers
53, CREFE, Université du Québec à Montréal.
- Alain Guay & Pierre Saint-Amant, 2005. "Do the Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles?," Annals of Economics and Statistics, GENES, issue 77, pages 133-155.
- Michael Reiter & Ulrich Woitek, 1999.
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1999_05, Business School - Economics, University of Glasgow.
- Timothy Cogley & James M. Nason, 1993.
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93-01, Federal Reserve Bank of San Francisco.
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- Baxter, Marianne, 1994. "Real exchange rates and real interest differentials: Have we missed the business-cycle relationship?," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 5-37, February.
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