Asymmetric Baxter-King filter
The paper proposes an extension of the symmetric Baxter-King band pass filter to an asymmetric Baxter-King filter. The optimal correction scheme of the ideal filter weights is the same as in the symmetric version, i.e, cut the ideal filter at the appropriate length and add a constant to all filter weights to ensure zero weight on zero frequency. Since the symmetric Baxter-King filter is unable to extract the desired signal at the very ends of the series, the extension to an asymmetric filter is useful whenever the real time estimation is needed. The paper uses Monte Carlo simulation to compare the proposed filter's properties in extracting business cycle frequencies to the ones of the original Baxter-King filter and Christiano-Fitzgerald filter. Simulation results show that the asymmetric Baxter-King filter is superior to the asymmetric default specification of Christiano-Fitzgerald filter in real time signal extraction exercises.
|Date of creation:||17 Jan 2011|
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- Lawrence J. Christiano & Terry J. Fitzgerald, 1999.
"The Band Pass Filter,"
NBER Working Papers
7257, National Bureau of Economic Research, Inc.
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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?," Annales d'Economie et de Statistique, ENSAE, issue 77, pages 133-155.
- John Y. Campbell & Pierre Perron, 1991.
"Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots,"
in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220
National Bureau of Economic Research, Inc.
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- Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers 360, Princeton, Department of Economics - Econometric Research Program.
- Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
- Watson, Mark W., 1986. "Univariate detrending methods with stochastic trends," Journal of Monetary Economics, Elsevier, vol. 18(1), pages 49-75, July.
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