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A Trend-Cycle(-Season) Filter: Prgoramme Code for Eviews, Excel, and MatLab

Author

Listed:
  • Matthias Mohr

    (European Central Bank)

Abstract

This zip archive contains implementations of the trend-cycle-season filter in Eviews, Excel, and MatLab. The trend-cycle-season filter is another univariate method to decompose a time series into a trend, a cyclical and a seasonal component: the Trend-Cycle filter (TC filter) and its extension, the Trend-Cycle-Season filter (TCS filter), see paper ewp-em/0508004 at http://econwpa.wustl.edu/eprints/em/papers/0508/0508004.abs

Suggested Citation

  • Matthias Mohr, 2005. "A Trend-Cycle(-Season) Filter: Prgoramme Code for Eviews, Excel, and MatLab," Econometrics 0508005, EconWPA.
  • Handle: RePEc:wpa:wuwpem:0508005
    Note: Type of Document - zip. Programme code for Excel, Eviews, and MatLab
    as

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    File URL: http://econwpa.repec.org/eps/em/papers/0508/0508005.zip
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    More about this item

    Keywords

    economic cycles; time series; filtering; trend-cycle decomposition; seasonality;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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