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Matlab code for A Method for Decomposing Time Series into Trend and Cycle Components

Author

Listed:
  • Julio Rotemberg

    (Harvard Business School)

Programming Language

Matlab

Abstract

This method separate a time series into a smooth component whose mean varies over time (the trend) and a stationary component (the cycle). the non-parametric method for obtaining the trend ensures that short term changes in trend growth are not associated with the current level of the cycle, thus ensuring a modicum of independence between the two series.

Suggested Citation

  • Julio Rotemberg, 1999. "Matlab code for A Method for Decomposing Time Series into Trend and Cycle Components," QM&RBC Codes 75, Quantitative Macroeconomics & Real Business Cycles.
    • Handle: RePEc:dge:qmrbcd:75
    as

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    File URL: https://dge.repec.org/codes/rotemberg/detrend.zip
    File Function: program code
    Download Restriction: none
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    Keywords

    Matlab;

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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